Construção de portifólios eficientes através do modelo de múltiplos fatores

Abstract

This dissertation has as main objective the construction of efficient portfolios according to the mean-variance model due to Markowitz (1952). However, even as technology advances in computing, determining the optimal proportions to invest can take a long time or even fail when the amount of assets is reasonably large. In this sense, as an alternative to this model, the multifactor model is used to obtain portfolios that will be approximations of the efficient Markowitz portfolios. In this type of model simplicity is based on the small number of parameters to be estimated compared to Markowitz. Initially, the Single Index Model (SIM) is employed, which assumes the existence of a single common factor that explains asset returns. In this model, the assets will be a subset of shares of the São Paulo Stock Exchange and the factor will be the IBOVESPA which is the result of a theoretical portfolio of assets prepared according to the criteria established in its methodology. Then, with the same objective and the same database, a multifactor model is employed, considering now two explanatory factors for the returns of these same assets. These two factors were IBOVESPA and monthly industrial production (MIP).