Métodos de seleção de carteira: uma análise dos métodos de Bazin, Graham e Markowitz
The present work had as objective to investigate the effectiveness of the method of Décio Bazin and Benjamin Graham as filter for implementation of Markowitz model. Asset price data and accounting information were accessed through the Bloomberg platform. The econometric modeling was generated by mea...
Na minha lista:
| Autor principal: | |
|---|---|
| Outros Autores: | |
| Formato: | bachelorThesis |
| Idioma: | pt_BR |
| Publicado em: |
Universidade Federal do Rio Grande do Norte
|
| Assuntos: | |
| Endereço do item: | https://repositorio.ufrn.br/handle/123456789/35074 |
| Tags: |
Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!
|
| Resumo: | The present work had as objective to investigate the effectiveness of the method of Décio Bazin and Benjamin Graham as filter for implementation of Markowitz model. Asset price data and accounting information were accessed through the Bloomberg platform. The econometric modeling was generated by means of the R, considering a data window between January 2, 2014 and January 2, 2019. A window outside the sample, between January 3, 2019 and June 3, 2019 was used for gauging of the returns of the returns made by portfolio composition methods. The results point to a lower performance of Bazin and Graham methods in relation to the Ibovespa index and the main market indices used as benchmark. |
|---|