文章基本信息

标题：PORTFOLIO COMPOSITION WITH MINIMUM VARIANCE: COMPARISON WITH MARKET BENCHMARKS
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作者：Daniel Menezes Cavalcante ; Vicente Lima Crisóstomo ; Paulo Rogerio Faustino Matos 等
期刊名称：Revista de Gestão, Finanças e Contabilidade
印刷版ISSN：2238-5320
出版年度：2016
卷号：6
期号：2
页码：132-159
语种：
出版社：University of State of Bahia
摘要：Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on the minimum variance strategy, optimized by the Modern Portfolio Theory, are able to achieve earnings above market benchmarks in Brazil. Time series of 36 securities traded on the BM&FBOVESPA have been analyzed in a long period of time (1999-2012), with sample windows of 12, 36, 60 and 120 monthly observations. The results indicated that the minimum variance portfolio performance is superior to market benchmarks (CDI and IBOVESPA) in terms of return and risk-adjusted return, especially in medium and long-term investment horizons.