Analisar a eficiência da aplicação da teoria de carteira de Markowitz no mercado acionário brasileiro

Abstract

The present study seeks to analyze the performance of the model created by Markowitz in the Brazilian stock market and analyze whether the three investment portfolios created based on the theory's calculations were able to surpass the profitability of the Ibovespa index in the year 2022. In this way, they were Three portfolios were constructed with the 30 Brazilian stock assets that had the largest shares in the Ibovespa index in 2021 and that had been traded on the stock exchange since 2017. This was done because the model uses historical data to estimate return and risk projections. The data was collected in the database of B3, Banco Central do Brasil and the websites InfoMoney and Mais Retorno, with data from January 2017 to December 2021 to assemble the portfolios and organize the data and carry out the calculations. Microsoft Excel software. The results showed that of the three portfolios created in the study based on the theory, two of them presented positive returns and above the Ibovespa index and one presented negative profitability and lower than the index.