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Portfolio Optimization with Minimum Assets and Dividend Yield Constraints
Pires, G. Wanke, P. Antunes, J. Tan, Yong Tzeremes, N.G.
Pires, G.
Wanke, P.
Antunes, J.
Tan, Yong
Tzeremes, N.G.
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Publication Date
2026
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(c) 2026 The Authors. This is an Open Access article distributed under the Creative Commons CC-BY license (https://creativecommons.org/licenses/by/4.0)
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2026-01-26
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pires_et_al_2025.pdf
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Abstract
This paper develops and evaluates three portfolio optimization strategies for Real Estate Investment Trusts (FIIs), Brazilian Depositary Receipts (BDRs), and Brazilian stocks traded on the Brazilian stock exchange (B3). The aim is to guide Brazilian investors by exploring investment opportunities across these distinct financial products. FIIs are analyzed for their tax-free dividends and mandatory profit distributions, BDRs for their international exposure and ease of diversification, and stocks for their potential in capital raising and profit sharing. The research employs three optimization techniques based on Markowitz’s theory but incorporates innovative constraints such as entropy, mutual information, high-order moments, dividend yield, and ticker balancing. The study also integrates the TOPSIS methodology with entropy-weighted financial variables to enhance portfolio selection. The findings indicate that the newly developed Model 3, which includes dividend yield and ticker balancing, outperforms traditional Markowitz and modified strategies (Model 1 and Model 2) in terms of risk and return. Despite the superior performance of the Naïve strategy in certain contexts, Model 3 shows significant advantages, particularly in stock portfolios with higher returns and lower risks. In the context
of FIIs and BDRs, the results suggest that while Model 3 is competitive, BDRs present additional risks due to currency fluctuations. The study concludes that innovative constraints in portfolio optimization can provide substantial benefits to investors, offering a novel contribution to modern portfolio theory. Future research should explore different asset allocation constraints and the combined impact of multiple financial variables on portfolio performance.
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Pires G, Wanke P, Antunes J et al (2026) Portfolio Optimization with Minimum Assets and Dividend Yield Constraints. Annals of Operations Research. Accepted for publication.
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