Since 2014
PORTFOLIO SELECTION MODELS: COMPARATIVE ANALYSIS AND APPLICATIONS TO THE BRAZILIAN STOCK MARKET.
Revista de Economia e Agronegócio
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| Title |
PORTFOLIO SELECTION MODELS: COMPARATIVE ANALYSIS AND APPLICATIONS TO THE BRAZILIAN STOCK MARKET.
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| Creator |
Farias, Christiano Alves
Vieira, Wilson da Cruz dos Santos, Maurinho Luiz |
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| Description |
This paper presents a comparison of three portfolio selection models,Mean-Variance (MV), Mean Absolute Deviation (MAD), and Minimax, as applied tothe Brazilian Stock Market (BOVESPA). For this comparison, we used BOVESPAdata 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 performancedetermined by monthly returns over the period. In general, the accumulated returnsfrom the Minimax modeled portfolios were superior to the BOVESPA’s principalindex, the IBOVESPA. The MV model was the least efficient for portfolio selection.
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| Publisher |
Universidade Federal de Viçosa
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| Contributor |
—
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| Date |
2015-06-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.rea.ufv.br/index.php/rea/article/view/88
10.25070/rea.v4i3.88 |
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| Source |
Revista de Economia e Agronegócio; v. 4, n. 3 (2006)
2526-5539 1679-1614 10.25070/rea.v4i3 |
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| Language |
por
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| Relation |
http://www.rea.ufv.br/index.php/rea/article/view/88/91
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| Rights |
Direitos autorais 2015 Revista de Economia e Agronegócio – REA
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