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| Farias, Christiano Alves; Vieira, Wilson da Cruz; Santos, Maurinho Luiz dos. |
| The objective of this paper was to compare and to analyze three portfolio selection models: Mean-Variance, Minimax and Minimax Weighted. These models were evaluated using historical data (September 1999 to August 2000, January 2001 to December 2001 and February 2002 to January 2003) obtained from the Brazilian Stock Market (Bovespa). They were selected optimal portfolios to each month based on the returns of the last twelve months. The results show that the returns obtained through the Mean-Variance model were superiors in certain circumstances and inferiors in others when compared to the Ibovespa index. The Minimax model obtained the best accumulated returns when compared with the others models and the Ibovespa index. |
| Tipo: Journal Article |
Palavras-chave: Portfolio selection; Mean-variance; Bovespa; Game theory; Financial Economics. |
| Ano: 2004 |
URL: http://purl.umn.edu/56814 |
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| Farias, Christiano Alves; Vieira, Wilson da Cruz; Santos, Maurinho Luiz dos. |
| 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 |
Palavras-chave: Portfolio selection; Stock market; Brazil; Financial Economics. |
| Ano: 2006 |
URL: http://purl.umn.edu/55187 |
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