Analisar a eficiência da aplicação da teoria de carteira de Markowitz no mercado acionário brasileiro
The present study seeks to analyze the performance of the model created by Markowitz in the Brazilian stock market and analyze whether the three investment portfolios created based on the theory's calculations were able to surpass the profitability of the Ibovespa index in the year 2022. In this...
| Autor principal: | Guimarães, Guilherme Martins |
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| Grau: | Trabalho de Conclusão de Curso |
| Idioma: | por |
| Publicado em: |
Brasil
2024
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| Assuntos: | |
| Acesso em linha: |
http://riu.ufam.edu.br/handle/prefix/7329 |
| Resumo: |
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The present study seeks to analyze the performance of the model created by
Markowitz in the Brazilian stock market and analyze whether the three investment
portfolios created based on the theory's calculations were able to surpass the
profitability of the Ibovespa index in the year 2022. In this way, they were Three
portfolios were constructed with the 30 Brazilian stock assets that had the largest
shares in the Ibovespa index in 2021 and that had been traded on the stock exchange
since 2017. This was done because the model uses historical data to estimate return
and risk projections. The data was collected in the database of B3, Banco Central do
Brasil and the websites InfoMoney and Mais Retorno, with data from January 2017 to
December 2021 to assemble the portfolios and organize the data and carry out the
calculations. Microsoft Excel software. The results showed that of the three portfolios
created in the study based on the theory, two of them presented positive returns and
above the Ibovespa index and one presented negative profitability and lower than the
index. |