Performance analysis of the integration between Portfolio Optimization and Technical Analysis strategies in the Brazilian stock market

作者：

Highlights：

• A fusion with technical analysis and portfolio optimization selection is proposed.

• The proposed approach overcame the benchmarks, both in the return and risk metrics.

• The fusion with technical analysis after the optimization with CVaR performed better.

摘要

•A fusion with technical analysis and portfolio optimization selection is proposed.•The proposed approach overcame the benchmarks, both in the return and risk metrics.•The fusion with technical analysis after the optimization with CVaR performed better.

论文关键词：Portfolio optimization,Technical analysis,Financial market

论文评审过程：Received 2 December 2020, Revised 13 June 2021, Accepted 27 July 2021, Available online 5 August 2021, Version of Record 13 August 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115687