A inclusão de ações da América Latina sob o ponto de vista do investidor brasileiro: inferências sobre os pesos na fronteira eficiente

Abstract

Allocating resources efficiently has been one of the major issues in Finance. If domestic factors are the key reasons for local assets to move together, the investor should search for other markets in order to diversify the local risk. This topic has been analyzed considering the risk-return tradeoff. However, one of the main problems is not taking the uncertainty input parameters into account triggering estimation risk concerns. This article analyzes whether the inclusion of stocks from other Latin American countries improve the efficient frontier from a Brazilian investor's point of view. The combination of inferences about tangency portfolio (BRITTEN-JONES, 1999) and global minimum risk portfolio (KEMPF e MEMMEL, 2006) was implemented. From the results, it can be concluded that the inclusion of other Latin American stocks would improve the efficient frontier for local investors with statistically significant portfolio weights.

Analysis of Bitcoin's Impact on the Efficiency of a Diversified Portfolio for Brazilian Investors

“…However, they were not statistically significant according to the method proposed by Gibbons, Ross, & Shanken (1989). Oliveira & Silva (2009) In another study, Caldeira et al (2014), using the GARCH model, based on data from 2006 to 2011, found evidence with statistical significance that investment in quotas of multimarket investment funds would result in a portfolio with a better risk-return ratio than the benchmarks adopted even when the frequency of portfolio rebalancing was changed.…”

“…There are several studies on the impact of Bitcoin on the efficiency of the investment portfolio in some of the leading international markets (see, for example, for the United States, Brière, Oosterlinck, & Szafarz, 2015;Wu & Pandey, 2014) and studies on the impact of the inclusion of specific assets and indices in the investment portfolio of the Brazilian market (Caldeira, Moura, Santos, & Tessari, 2014;Cunha & Samanez, 2014;Lopes & Furtado, 2006;Oliveira & Silva, 2009;Silveira & Barros, 2010). However, studies that address Bitcoin's potential influence in a diversified portfolio of assets within Brazilian investors' reach are unknown, so the present study contributes to the finance literature.…”