Otimização de carteira de investimento na bolsa de valores utilizando análise envoltória de dados e teoria do portfólio

Abstract

Currently with the various types of financial investments, the investor may have difficulty in which option to choose, given the variations of the return-risk ratio presented by each modality. Especially in the case of stocks, assets considered high risk, the composition of a diversified portfolio allows the investor to have a better chance of obtaining good profitability, as well as a considerable reduction of investment risk. This study aims to use Data Envelopment Analysis (DEA) to compose an efficient portfolio, based on indicators commonly used in fundamentalist analyzes. The methodology consisted of collecting data from the stock exchange and other sources of investment, selecting efficient stocks and using the Markowitz model to obtain a portfolio with lower risks and higher returns. The results indicated that of the thirty stocks with the highest trading volume, only seven were considered efficient, and the development of two portfolios with data of 3 and 12 months.