PORTFOLIO SELECTION MODELS: COMPARATIVE ANALYSIS AND APPLICATIONS TO THE BRAZILIAN STOCK MARKET.

Authors

  • Christiano Alves Farias
  • Wilson da Cruz Vieira
  • Maurinho Luiz dos Santos

DOI:

https://doi.org/10.25070/rea.v4i3.88

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.

Downloads

Download data is not yet available.

Downloads

Published

2015-06-01

How to Cite

Farias, C. A., Vieira, W. da C., & dos Santos, M. L. (2015). PORTFOLIO SELECTION MODELS: COMPARATIVE ANALYSIS AND APPLICATIONS TO THE BRAZILIAN STOCK MARKET. Revista De Economia E Agronegócio, 4(3). https://doi.org/10.25070/rea.v4i3.88

Issue

Vol. 4 No. 3 (2006)

Section

Artigos

License

Autores que publicam nesta revista concordam com os seguintes termos:

O artigo não infringe direitos autorais e estes direitos, no caso de o artigo ser aceito para publicação, serão cedidos, de forma exclusiva, à Universidade Federal de Viçosa.

Most read articles by the same author(s)

1 2 > >>