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Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness >
Volume 04, Number 3, 2006 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/55187
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| Title: | Portfolio selection models: comparative analysis and applications to the Brazilian stock market |
| Authors: | Farias, Christiano Alves
Vieira, Wilson da Cruz
Santos, Maurinho Luiz dos |
| Authors (Email): | Vieira, Wilson da Cruz (wvieira@ufv.br)
Santos, Maurinho Luiz dos (mlsantos@ufv.br) |
| Keywords: | Portfolio selection
Stock market
Brazil |
| Issue Date: | 2006 |
| Abstract: | 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. |
| URI: | http://purl.umn.edu/55187 |
| Institution/Association: | Revista de Economia e Agronegócio/Brazilian Review of Economics and Agribusiness>Volume 4, Number 3, 2006 |
| Total Pages: | 20 |
| From Page: | 387 |
| To Page: | 407 |
| Collections: | Volume 04, Number 3, 2006
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| 06_artigo.pdf | | 61Kb | PDF | View/Open |
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