MARKOWITZ AND SHARPE’S PORTFOLIO THEORY: A BRAZILIAN STOCK MARKET APPLICATION BETWEEN JULY’ 95 AND JUNE’ 2000

• Autor(a) principal: Zanini, Francisco Antônio Mesquita
• Data de Publicação: 2008
• Outros Autores: Figueiredo, Antonio Carlos
• Tipo de documento: Artigo
• Idioma: por; eng; spa
• Título da fonte: RAM. Revista de Administração Mackenzie
• Texto Completo: https://editorarevistas.mackenzie.br/index.php/RAM/article/view/72

Risk management is a crucial question and a challenge both to portfolio analysts and managers and to the academy. In 1952, Markowitz has presented the basis a what would be known as the Modern Portfolio Theory. In the next decade, based on Markowitz´s studies, Sharpe has developed a simplified model, called Single Index Model, whose application, because of the adoption of some simplification premises, became easier through a considerable reduction of the volume of required calculations. This work seeks to determine if the simplifications proposed by Sharpe´s model do significantly affect its results or, more specifically, if the portfolio optimization using both models - Markowitz´s original model and Sharpe´s Single Index Model - gives significantly different results.