Avaliação de risco em uma carteira teórica de ações: um estudo com base na Teoria do Portfólio de Markowitz

Abstract

The possibility of seeking knowledge about the alternatives available to save is not easy to understand, giving the investor a multitude of options to obtain income above saving. Investing in stocks traded on the stock exchange, Brasil Balcão (B3), can be a good opportunity to obtain better earnings. However, due to its high volatility, itis necessary for the investor to prevent himself and to make an analysis about the assets he wishes to acquire. In order to achieve higher remuneration, it is essential that you are exposed to higher risks. In this regard, we are asking how to minimize the risk to the investor in the stock market? The objective of the work is to propose the construction of theoretical portfolios of shares with lower risk. For this purpose, the Portfolio Selection theory proposed by Markowitz in 1952 was used. The work is of an applied and descriptive nature in terms of its objectives with a quantitative approach and, as for the procedures, is documentary and bibliographic. A sample of monthly stock quotes from 220 companies listed on B3 was used in the period 31.08.2021 to 29.07.2022 that allowed to build three portfolios whose results proved that portfolios with negatively correlated securities minimize the risk to the investor.