Data/hora: 15/06/2024 02:20:29

Provedor de dados: | Research in Agricultural & Applied Economics (AgEcon Searh)
País: | United States
Título: | Portfolio selection models: comparative analysis and applications to the Brazilian stock market
Autores: | Farias,   Christiano Alves; Vieira,   Wilson da Cruz; Santos,   Maurinho Luiz dos.
Data: | 2009-11-21
Ano: | 2006
Palavras-chave: | Portfolio selection; Stock market; Brazil; Financial Economics.
Resumo: | This paper presents a comparison of three portfolio selection models, Mean-Variance (MV), Mean Absolute Deviation (MAD), and Minimax, as applied to the Brazilian Stock Market (BOVESPA). For this comparison, we used BOVESPA data from three different 12 month time periods: 1999 to 2000, 2001, and 2002 to 2003. Each model generated three optimal portfolios for each period, with performance determined by monthly returns over the period. In general, the accumulated returns from the Minimax modeled portfolios were superior to the BOVESPA’s principal index, the IBOVESPA. The MV model was the least efficient for portfolio selection.
Tipo: | Journal Article
Idioma: | Inglês
Identificador: | http://purl.umn.edu/55187
Relação: | Revista de Economia e Agronegócio/Brazilian Review of Economics and Agribusiness&gt;Volume 4, Number 3, 2006
Formato: | 20