FormaÃÃo de Portfolio: Uma alternativa nÃo paramÃtrica para o mercado de aÃÃes / Formation of Portfolio: An alternative distribution free for the action market
AUTOR(ES)
Ricardo Nelson Vasconcelos
DATA DE PUBLICAÇÃO
2004
RESUMO
The purpose of this paper is testing an alternative method to create an efficient portfolio, from the technical efficiency ranking of the bonds negociated in BOVESPA from october/1998 to september/2003, using the non parametric model of data envelopment analysis.To the creating of efficient portfolios, is using the Markowitz portfolio theory, comparing to the selecting assets to the composition of best portfolios DEA model from Elton Grubber. To establish the index of efficiency was calculated the average prices quotation of bonds negociated in Bovespa. Comparing the methods, it was verified the best erformance of portfolios using the DEA methodology in relation to the traditional Elton Gruber model to get a best level of return compared to the risk of portfolios.
ASSUNTO(S)
efficient portfolio carteiras eficientes dea model and elton-gruber model economia modelo dea e modelo elton-gruber
ACESSO AO ARTIGO
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1901Documentos Relacionados
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