SciELO - Scientific Electronic Library Online

vol.50 número2Sorte ou habilidade: uma avaliação dos fundos de investimento no BrasilContágio da crise norte-americana do subprime sobre os mercados dos BRIC e da União Europeia índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados




Links relacionados


Revista de Administração (São Paulo)

versão impressa ISSN 0080-2107versão On-line ISSN 1984-6142


ARAUJO, Alcides Carlos de  e  MONTINI, Alessandra de Ávila. Analysis of risk metrics in share portfolio optimization. Rev. Adm. (São Paulo) [online]. 2015, vol.50, n.2, pp.208-228. ISSN 0080-2107.

Markowitz and Sharpe’s studies formed the basis of the so-called Modern Portfolio Theory. Over the years, their papers were reviewed and alternative measures for portfolios optimization were presented. In view of this fact, there is a need to evaluate what are the differences between these measures. According to Roman and Mitra, this problem constitutes a new phase of studies, called Post-Modern Portfolio Theory. The purpose of this article is to compare the optimization models using risk measures such as standard deviation (SD), lower partial moment (LPM) and conditional value at risk (CVaR) to study their different forms of allocations in portfolios comprised of stocks traded on the BM&FBovespa. The article is divided into two stages: the first begun with the selection of risk measures and the definition of the analysis period; in the second stage, there was the division of assets according to the shape of the probability distribution of returns, with a group of stocks with returns normally distributed and another group of stocks with returns without normal distribution. As for risk measures, tests showed similar characteristics between models; as for the returns, the models that minimized LPM and CVaR showed superior results compared to the SD. Such results are relevant because they oppose the studies according to which there are no significant differences between the models.

Palavras-chave : portfolio theory; downside risk; value-at-risk.

        · resumo em Português | Espanhol     · texto em Português     · Português ( pdf )