Portfolio selection models: comparative analysis and applications to the brazilian stock market.

dc.creatorFarias, Christiano Alves
dc.creatorVieira, Wilson da Cruz
dc.creatorSantos, Maurinho Luiz dos
dc.date2018-06-18T11:30:58Z
dc.date2018-06-18T11:30:58Z
dc.date2006-07
dc.date.accessioned2023-09-27T21:05:09Z
dc.date.available2023-09-27T21:05:09Z
dc.identifier1679-1614
dc.identifierhttps://revistarea.ufv.br/index.php/rea/article/view/88
dc.identifierhttp://www.locus.ufv.br/handle/123456789/20170
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8954260
dc.descriptionThis 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.
dc.formatpdf
dc.formatapplication/pdf
dc.languageeng
dc.publisherRevista de Economia e Agronegócio
dc.relationv. 4, n. 3, p.387-408, julho- setembro 2006
dc.rightsOpen Access
dc.subjectPortfolio selection
dc.subjectStock market
dc.subjectBrazil
dc.titlePortfolio selection models: comparative analysis and applications to the brazilian stock market.
dc.typeArtigo


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