Criação de um portfólio de investimento de alta liquidez: aplicação da Teoria de Markowitz
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Tipo
TCC
Data de publicação
2020-12-09
Periódico
Citações (Scopus)
Autores
Kawabata, Guilherme
Alves, Gustavo Saula
Gomes, Jonathan da Silva
Alves, Gustavo Saula
Gomes, Jonathan da Silva
Orientador
Ferreira, Paulo Sergio Altman
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Resumo
O presente estudo busca analisar, avaliar e aplicar a Teoria Moderna do Portfolio estabelecida por Markowitz (1952) para criação de portfólios de investimentos. O cenário utilizado é constituído pelas dez ações mais negociadas na bolsa de valores oficial do Brasil (B3) em 2019 sendo a avaliação dos dados do período de 2015 até 2019 e os resultados avaliados em diferentes períodos. Estes resultados foram confrontados ao índice Ibovespa para comparação, assim como também houve análise através do índice Sharpe (1963). Viu-se que, a maioria das carteiras satisfez a performance esperada, com exceção da carteira de baixo risco em curto prazo. Há de se tratar também que o peso de cada ativo influenciou no desempenho proporcionalmente.
This study aims to analyze, evaluate and apply the Modern Theory of Portfolio established by Markowitz (1952) for the creation of investment portfolios. The scenario used for research consists of the ten most traded shares on the official stock market in Brazil (B3) during the period of 2015 until 2019 and the results were evaluated based on the year 2019. The results obtained were compared to the Ibovespa index as a form of validation and comparison, as well as the analysis through the Sharpe index (1963). It was seen that the majority of portfolios met the expected performance, with the exception of the low-risk portfolio in the short-term. It must also be considered that the weight of each asset influenced the performance proportionately.
This study aims to analyze, evaluate and apply the Modern Theory of Portfolio established by Markowitz (1952) for the creation of investment portfolios. The scenario used for research consists of the ten most traded shares on the official stock market in Brazil (B3) during the period of 2015 until 2019 and the results were evaluated based on the year 2019. The results obtained were compared to the Ibovespa index as a form of validation and comparison, as well as the analysis through the Sharpe index (1963). It was seen that the majority of portfolios met the expected performance, with the exception of the low-risk portfolio in the short-term. It must also be considered that the weight of each asset influenced the performance proportionately.
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Palavras-chave
portfolios de investimento , ações , Markowitz , investment portfolios , stocks