Teoria moderna de carteiras - uma visão conceitual com aplicações

Abstract

A portfolio is a set of financial assets formed to meet a particular investment objective (profit). There are methods that assist in the formation of portfolios, according to each intention and risk aver- sion. One of the techniques available in the literature is the called Modern Portfolio Theory, whose development is attributed to an economist named Harry Markowitz. This theory uses two basic mea- sures statistics (return and risk) and a series of assumptions to develop an optimized portfolio model, with the objective of diversifying it and simultaneously attempting to achieve the lowest level of risk in relation to all the assets of potfolio. Thus, when applying the Markowitz theory to a portfolio, proportions are presented relative to each asset, that is, how much each of them will be present in the portfolio considering the total to be invested. Such proportions are those indicated so that the investment is realized with the lowest risk faced with the conditions previously established. In this work, the aforementioned theory will be presented, from the essential concepts and results in Chapter 2, deepening, in Chapter 3, in the Portfolio Theory itself with demonstrations of the results for, initi- ally, two risk assets composing the Portfolio and generalizing to n assets. Also in Chapter 3 will be presented the definition of efficient frontier and how to obtain it. Chapter 4 will present an application of the modern portfolio theory in the Brazilian stock market, detailing the entire process of obtaining the portfolio and the calculation of results spreadsheet. Chapter 5 will discuss the results presented in the previous chapter and Chapter 6 will present the conclusions of the work and possibilities of future studies aiming at improving the application developed.