Aplicação do modelo de Markowitz para a otimização de carteiras de títulos públicos

Abstract

The Markowitz’s studies (1952) were the basis for the Modern Portfolio Theory, which presents diversification as form of risk reduction of portfolio. The purpose of this work is to use the Markowitz’s model to optimize portfolios of Brazilian Government Bonds. The model was implemented in the AMPL mathematical programming language and risk return analysis were carried out to construct the efficient frontier, in which several optimal solutions were obtained. Finally, the indices associated with Brazilian Government Bonds were decomposed to explain micro-allocation.