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In this work, the composition of a portfolio was proposed by using the Knapsack problem and verified its effectiveness in comparison to a portfolio of shares on an investment website. The programming variables were based on the Markowitz risk theory of variance and following collaborators for their studies. And from the chosen portfolio, the efficient frontier was elaborated analyzing the performance of the investment site portfolio during 30 days. The portfolio obtained exceeded the percentage performance obtained from the investment site in the same period when considering the maximum possible return, the minimum global variance and also in the naive distribution.
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