Análise de métricas de risco na otimização de portfólios de ações

Araújo, Alcides Carlos de; Montini, Alessandra de Ávila

doi:10.5700/rausp1195

Cited by 4 publications

(7 citation statements)

References 30 publications

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“…Despite the results of academic studies such as Araújo and Montini (2015), the results reported in Table IV lead not only to the rejection of H1 , but also to the conclusion that the modern theory remains the dominant paradigm among practitioners.…”

Section: Analysis and Discussion Of Resultsmentioning

confidence: 86%

“…Basically, this entails the optimization of a function subject to constraints. The methodology for portfolio optimization can be found in the studies of Roman and Mitra (2009) and Araújo and Montini (2015).…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

“…Empirical studies comparing and ranking different risk metrics usually consider the out-of-sample return of portfolios optimized for various risks but with the same return in the sample period. Brazilian studies indicate that LPM-optimized portfolios generally yield the best results, independent of the normality of the distribution of returns; see Andrade (2006) and Araújo and Montini (2015). In light of the literature, H1, to be tested is as follows:…”

Section: Measuring Market Riskmentioning

confidence: 99%

“…Many new methods and concepts have emerged in financial portfolio construction, risk management and performance evaluation since Markowitz’s (1952) pioneering work. The use of the variance, or standard deviation, of returns as a proxy for investment risk has been questioned, and alternative risk measures have been proposed, according to Rom and Ferguson (1994); Roman and Mitra (2009) and Araújo and Montini (2015). The use of the original sample covariance matrix to estimate the risk of an asset portfolio has also been questioned, according to Chan et al (1999) and Santos and Tessari (2012).…”

Section: Introductionmentioning

confidence: 99%

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Portfolio construction and risk management: theory versus practice

Lee

Eid

2018

RAUSP

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Purpose This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil. Design/methodology/approach The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions. Findings The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings. Originality/value This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners.

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Section: Analysis and Discussion Of Resultsmentioning

confidence: 86%

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Section: Measuring Market Riskmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Portfolio construction and risk management: theory versus practice

Lee

Eid

2018

RAUSP

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“…Os problemas relacionados aos modelos média-LPM envolvem, sobretudo, o fato da matriz de semivariância-cosemivariância ser assimétrica e endógena. Alguns dos pesquisados que têm proposto metodologias são: Hogan e Warren (1972,1974), Ang (1975), Elton, Gruber e Padberg (1976), Nawrocki (1983) e Nawrocki e Staples (1989), Harlow (1991), Markowitz et al (1993), Gilli e Këllezi (2000), Athayde (2001) CHUA, 1979;BOND;SATCHELL, 2002;BERTSIMAS;LAUPRETE;SAMAROV, 2004;BOASSON;BOASSON;ZHOU, 2011;HAMRIN, 2011;DITRAGLIA;GERLACH, 2013;PLA-SANTAMARIA;BRAVO, 2013;GAO et al, 2014), o que também ocorreu para estudos no Brasil (ANDRADE, 2006;MONTINI, 2011MONTINI, , 2012.…”

Section: Introductionunclassified

Análise da eficácia da variância e de medidas Downside Risk para formação de carteiras

Bezerra

Machado

2016

Enf.:Ref. Cont.

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O objetivo deste artigo é analisar a eficácia da variância e de medidas de downside risk para formação de carteiras de investimentos no mercado de ações brasileiro. Utilizando as metodologias de Ang (1975), Markowitz et al. (1993), Ballestero (2005), Estrada (2008) e Cumova e Nawrocki (2011), foi verificado qual o melhor método para resolução do problema de matriz assimétrica e endógena e, inspirando-se nos trabalhos de Markowitz (1952) e Lohre, Neumann e Winterfeldt (2010), foi constatada qual métrica de risco é mais indicada para a realização da alocação mais eficiente dos recursos disponíveis no mercado acionário do Brasil. A amostra utilizada foi composta pelas ações do IBrX 50, no período de 2000 a 2013. Os resultados indicaram que, ao empregar a semivariância como medida de risco assimétrico, caso o investidor possua meios para utilizar modelos mais requintados para resolução do problema da matriz de semivariância-cosemivariância assimétrica, será mais eficaz o modelo de Cumova e Nawrocki (2011). Além disso, a partir dos dados brasileiros, o VaR apresentou-se mais eficaz do que a variância e outras medidas de downside risk no que tange à minimização do risco de perda. Assim, dada a premissa de que o investidor possui preferências assimétricas em relação ao risco, a formação de carteiras de ações no mercado brasileiro é mais eficiente ao se utilizar critérios de minimização de downside risk do que a abordagem tradicional de média-variância.

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