Otimização de carteira de ações segundo Markowitz: um estudo do risco entre blue chips e small caps no Brasil.

Abstract

This work discusses the importance of the administration of the risk and return in investments of variable income with approach in two groups of actions defined like Blue Chips and Small Caps, the objective was to lift important information for the electric outlet of decision emphasizing the minimizacion of the risk and maximizacion of the return. The used methodology is the descriptive and the quantitative, being used statistical tools as variance and standard deviation and other mathematical procedures as the lineal programming with emphasis in the model of portfolios otimizacion presented by Herry Markowitz 1952. In both wallets, an allocation of resources was verified where the risk was minimized staying the largest possible return inside of the restrictions imposed to the problem. The results of the operation in Blue Chips were a decrease of the risk of 6,214% and a positive variation of the return in 18,92%. In Small Caps a decrease of 2,125% and a positive variation in the return of 6,78%. being Ended that the solution found for Blue Chips' wallet is much more attractive and for that it could be considered the best investment option in the analyzed period.