Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020
Motivated by the economic context, the social security reform in Brazil, and the behavior of Brazilian individual investors in the retirement-fund market, this study designs an algorithm to manage a real retirement-fund portfolio. In our model, the theoretical manager of the fund can allocate its r...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | Portuguese |
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Universidade Federal de Santa Catarina
2024-10-01
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| Series: | Textos de Economia |
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| Online Access: | https://periodicos.ufsc.br/index.php/economia/article/view/84889 |
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| author | Nicollas Mateus Gomes Helberte João França Almeida Rafael Jasper Feltrin Guilherme de Oliveira |
| author_facet | Nicollas Mateus Gomes Helberte João França Almeida Rafael Jasper Feltrin Guilherme de Oliveira |
| author_sort | Nicollas Mateus Gomes |
| collection | DOAJ |
| description |
Motivated by the economic context, the social security reform in Brazil, and the behavior of Brazilian individual investors in the retirement-fund market, this study designs an algorithm to manage a real retirement-fund portfolio. In our model, the theoretical manager of the fund can allocate its resources among four securities belonging to the same financial institution: two fixed income funds; and two private credit funds. Innovatively, the machine learning algorithm optimizes the portfolio allocation using reinforcement learning, which rewards good decisions and punishes bad decisions based on individual and social criteria. The algorithm presented a consistent and stable performance in all the six scenarios of simulation, outperforming the actual portfolio and s random strategy by considerable and significant average returns.
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| format | Article |
| id | doaj-art-0f5b37ba044f4f01aad79c1e81b90a88 |
| institution | DOAJ |
| issn | 0103-6017 2175-8085 |
| language | Portuguese |
| publishDate | 2024-10-01 |
| publisher | Universidade Federal de Santa Catarina |
| record_format | Article |
| series | Textos de Economia |
| spelling | doaj-art-0f5b37ba044f4f01aad79c1e81b90a882025-08-20T02:51:45ZporUniversidade Federal de Santa CatarinaTextos de Economia0103-60172175-80852024-10-0126210.5007/2175-8085.2023.e84889Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020Nicollas Mateus Gomes0Helberte João França AlmeidaRafael Jasper Feltrin1Guilherme de Oliveira2Universidade Federal de Santa CatarinaUniversidade Federal de Santa CatarinaUniversidade Federal de Santa Catarina Motivated by the economic context, the social security reform in Brazil, and the behavior of Brazilian individual investors in the retirement-fund market, this study designs an algorithm to manage a real retirement-fund portfolio. In our model, the theoretical manager of the fund can allocate its resources among four securities belonging to the same financial institution: two fixed income funds; and two private credit funds. Innovatively, the machine learning algorithm optimizes the portfolio allocation using reinforcement learning, which rewards good decisions and punishes bad decisions based on individual and social criteria. The algorithm presented a consistent and stable performance in all the six scenarios of simulation, outperforming the actual portfolio and s random strategy by considerable and significant average returns. https://periodicos.ufsc.br/index.php/economia/article/view/84889Reinforcement learningSocial securityPortfolio management |
| spellingShingle | Nicollas Mateus Gomes Helberte João França Almeida Rafael Jasper Feltrin Guilherme de Oliveira Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 Textos de Economia Reinforcement learning Social security Portfolio management |
| title | Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 |
| title_full | Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 |
| title_fullStr | Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 |
| title_full_unstemmed | Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 |
| title_short | Does managing a retirement portfolio via rate of return, Sharpe ratio and social interaction generate good returns? An analysis for the years 2017 to 2020 |
| title_sort | does managing a retirement portfolio via rate of return sharpe ratio and social interaction generate good returns an analysis for the years 2017 to 2020 |
| topic | Reinforcement learning Social security Portfolio management |
| url | https://periodicos.ufsc.br/index.php/economia/article/view/84889 |
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