Use of data envelopment analysis (DEA) in diverse and efficient investment portfolio composition
In front of many types of financial investments, the investor may have difficulty which option to choose in the face of variations of the ratio between return and risk presented by each one. Especially in the case of equities, considered high risk financial assets, the composition of a diversified p...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2017 |
| País: | Brasil |
| Institución: | Associação Brasileira de Engenharia de Produção (ABEPRO) |
| Repositorio: | Revista Produção Online |
| Idioma: | portugués |
| OAI Identifier: | oai:ojs.www.producaoonline.org.br:article/2383 |
| Acceso en línea: | https://www.producaoonline.org.br/rpo/article/view/2383 |
| Access Level: | acceso abierto |
| Palabra clave: | Data Envelopment Analysis. Portfolio Diversification. Markowitz Model. Análise Envoltória de Dados. Diversificação de carteira. Modelo de Markowitz. |
| Sumario: | In front of many types of financial investments, the investor may have difficulty which option to choose in the face of variations of the ratio between return and risk presented by each one. Especially in the case of equities, considered high risk financial assets, the composition of a diversified portfolio enables the investor to have higher chances of getting good returns, as well as considerable reduction in investment risk. This paper aims to employ the data envelopment analysis (DEA) to compose an efficient portfolio, from the perspective of indicators generally used in fundamentalist analysis. The methodology consisted of data collecting from to the stock market and other sources of investment, selection of efficient equities and the resulting portfolio optimization, using for it the Markowitz model. The results indicated that, the hundred titles with greater trading volume, only ten were considered efficient, and the portfolio formed by them got superior performance than the Ibovespa and IBr-X100 indexes. It was possible to conclude that the diversification of equities portfolio is a viable and satisfactory option when compared to other types of investments available to investors, thus enabling that the same be able to choose a portfolio of efficient investment and to optimize the ratio between return and risk. |
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