“…For instance, return, to be maximized and variability, to be minimized. In order to overcome this problem, the technique of Factor Mean Square Error (FMSE) proposed by (Leite, 2019) as a variation of Multivariate Mean Square Error (MMSE) developed in (Paiva et al, 2009) can be applied as in (Luz et al, 2021). Initially, the targets for the factors are calculated as shown in Equation 6, where i T is the target for the i th factor, Z is the vector of standardized variables, and i L is the vector of loadings composed of the correlations between the original variables and the ith factor.…”