Análise ótima para portfólios de investimentos aplicando o modelo de Markowitz.

Abstract

In an economic scenario of several changes, influenced by globalization such of the opening of markets, by the growth of enterprises and, mainly by large demand for capital, frequently arise numerous and great investment opportunities, which arouse and induce many investors to seek to increase their wealth through the offers. However, it is plain that in the variable income market return is always associated with risk, in others words, there are probabilities in certain periods rather than gains occur, losses occur, so is the quest for reducing these risks, and formation investments with lower volatility, we emphasize the studies proposed by Markowitz, which assists in the formation of optimal portfolios based on the concepts of asset diversification. For this purpose, the main objective of this work is to propose an investment portfolio using the Markowitz model, to form optimized portfolios of investments with higher return and lower risk, giving the investor options to choose in the stock market. In the methodological procedures were built seven scenarios that allowed a detailed study of the top 20 stocks in the 1st quarter of 2014 IBOVESPA comprising the periods from January 2011 to December 2013, moreover, this is a descriptive research of qualitative and quantitative approach, since it uses Excel spreadsheets with special emphasis on SOLVER tool, which is fundamental to application of the optimization model and therefore allows to qualify the portfolio. Based on results found have been made comparisons and analyzes, which allowed to verify that the optimized and diversified portfolios showed equal or higher returns and lower risks for all scenarios compared portfolios formed by a "naive" investor who randomly apply the same ratio to each asset comprising the portfolio in the working example was 20%. Therefore the application of the Markowitz model allowed to find a portfolio with optimal proportions in each scenario (Portfolio MV), which has the lowest risk with a moderate return.