How the small investor can use the theories of Graham and Markowitz

Detalhes bibliográficos
Autor(a) principal: Zin, Roque Alberto
Data de Publicação: 2016
Outros Autores: Tarso, Edielson
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Contabilidade e Gestão
Texto Completo: https://www.revistas.udesc.br/index.php/reavi/article/view/2316419004062015028
Resumo: The presence of individual investors in the main Brazilian stock exchange has increased in recent years. The vast majority are small investors who do not always have knowledge or resources to analyze in depth the assets in which they invest. The aim of this study is to verify the efficiency of the application in the Brazilian market of two strategies used by successful investors. As well, the use of a simple tool to evaluate and active assist in the composition of a portfolio to minimize the risks. To do so, the theories Benjamin Graham to choose the assets to be acquired, and the model of Harry Markowitz efficient frontier were used to define the contribution of each asset in the portfolio composition. For the calculations to Excel ® spreadsheet was used, a simple and affordable tool for all investors. The study period were the years 2006 to 2010, ie two years prior and two years following the global crisis of 2008. At the beginning of the period were formed five portfolios as filters Graham and the share of each asset was established as the criteria stated by Markowitz. The assets comprising the portfolio as well as its share in total investment are evaluated and changed only once at the beginning of each year. 
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spelling How the small investor can use the theories of Graham and MarkowitzCómo puede el pequeño inversionista usar las teorías de Graham y MarkowitzComo o pequeno investidor pode usar as teorias de Graham e Markowitzfinançasinvestimentospequeno investidorfronteira eficienteseleção de carteirasfinanceinvestmentssmall investorefficient frontierselection of portfoliosfinanzasinversionespequeño inversorfrontera eficienteselección de carteraThe presence of individual investors in the main Brazilian stock exchange has increased in recent years. The vast majority are small investors who do not always have knowledge or resources to analyze in depth the assets in which they invest. The aim of this study is to verify the efficiency of the application in the Brazilian market of two strategies used by successful investors. As well, the use of a simple tool to evaluate and active assist in the composition of a portfolio to minimize the risks. To do so, the theories Benjamin Graham to choose the assets to be acquired, and the model of Harry Markowitz efficient frontier were used to define the contribution of each asset in the portfolio composition. For the calculations to Excel ® spreadsheet was used, a simple and affordable tool for all investors. The study period were the years 2006 to 2010, ie two years prior and two years following the global crisis of 2008. At the beginning of the period were formed five portfolios as filters Graham and the share of each asset was established as the criteria stated by Markowitz. The assets comprising the portfolio as well as its share in total investment are evaluated and changed only once at the beginning of each year. La presencia del inversionista persona física en la principal bolsa de valores brasileña ha aumentado en los últimos años. La gran mayoría se compone de pequeños inversionistas, que no siempre tienen los conocimientos ni los recursos para analizar en profundidad los activos en los que pretenden invertir. El objetivo de este estudio es verificar la eficiencia de la aplicación en el mercado brasileño de dos estrategias utilizadas por inversores exitosos. Así como el uso de una herramienta simple para evaluar activos y ayudar en la composición de una cartera con el fin de minimizar los riesgos. Para ello se utilizaron las teorías de Benjamin Graham para elegir los activos que adquirir y el modelo de la frontera eficiente de Harry Markowitz para definir la participación de cada activo en la composición de las carteras. Para realizar los cálculos se utilizó una hoja de cálculo de Excel®, una herramienta sencilla al alcance de todos los inversionistas. El período estudiado se extendió de los años 2006 al 2010, es decir, dos años antes y dos años después de la crisis mundial del 2008. Al inicio del período se formaron cinco carteras según los filtros de Grahan, y la participación de cada activo se estableció según los criterios demostrados por Markowitz. Los activos que componen la cartera, así como su participación en el monto total invertido, se evalúan y modifican una sola vez al inicio de cada año.A presença do investidor pessoa física na principal bolsa de valores brasileira tem aumentado nos últimos anos.  A grande maioria é composta de pequenos investidores, os quais nem sempre possuem conhecimentos ou recursos para analisar com profundidade os ativos em que pretendem investir.  O objetivo deste estudo é verificar a eficiência da aplicação no mercado brasileiro de duas estratégias utilizadas por investidores de sucesso. Bem como, a utilização de uma ferramenta simples para avaliar os ativos e auxiliar na composição de um portfólio de forma a minimizar os riscos.  Para tanto, foram utilizadas as teorias Benjamin Grahan para a escolha dos ativos a serem adquiridos, e o modelo da fronteira eficiente de Harry Markowitz para definir a participação de cada ativo na composição das carteiras. Para a realização dos cálculos foi utilizada a planilha eletrônica Excel®, uma ferramenta simples e disponível a todos os investidores. O período estudado foram os anos de 2006 a 2010, ou seja, dois anos anteriores e dois anos posteriores a crise mundial de 2008. No inicio do período foram formadas cinco carteiras conforme os filtros de Grahan e a participação de cada ativo foi estabelecida conforme os critérios demonstrados por Markowitz.  Os ativos que compõem a carteira bem como a sua participação no total investido são avaliados e alterados uma única vez no inicio de cada ano.Universidade do Estado de Santa Catarina — UDESC2016-05-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.udesc.br/index.php/reavi/article/view/231641900406201502810.5965/2764747104082015028Revista Brasileira de Contabilidade e Gestão; Vol. 4 No. 8 (2015); 028-041Revista Brasileira de Contabilidade e Gestão; Vol. 4 Núm. 8 (2015); 028-041Revista Brasileira de Contabilidade e Gestão; v. 4 n. 8 (2015); 028-0412764-747110.5965/231641900406reponame:Revista Brasileira de Contabilidade e Gestãoinstname:Universidade do Estado de Santa Catarina (UDESC)instacron:UDESCporhttps://www.revistas.udesc.br/index.php/reavi/article/view/2316419004062015028/5420Copyright (c) 2016 Roque Alberto Zin, Edielson Tarsohttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessZin, Roque AlbertoTarso, Edielson2023-09-19T13:14:48Zoai::article/6652Revistahttps://www.revistas.udesc.br/index.php/reavi/indexPUBhttps://www.revistas.udesc.br/index.php/reavi/oairbceg.ceavi@udesc.br || paulo.barth@udesc.br2764-74712764-7471opendoar:2023-09-19T13:14:48Revista Brasileira de Contabilidade e Gestão - Universidade do Estado de Santa Catarina (UDESC)false
dc.title.none.fl_str_mv How the small investor can use the theories of Graham and Markowitz
Cómo puede el pequeño inversionista usar las teorías de Graham y Markowitz
Como o pequeno investidor pode usar as teorias de Graham e Markowitz
title How the small investor can use the theories of Graham and Markowitz
spellingShingle How the small investor can use the theories of Graham and Markowitz
Zin, Roque Alberto
finanças
investimentos
pequeno investidor
fronteira eficiente
seleção de carteiras
finance
investments
small investor
efficient frontier
selection of portfolios
finanzas
inversiones
pequeño inversor
frontera eficiente
selección de cartera
title_short How the small investor can use the theories of Graham and Markowitz
title_full How the small investor can use the theories of Graham and Markowitz
title_fullStr How the small investor can use the theories of Graham and Markowitz
title_full_unstemmed How the small investor can use the theories of Graham and Markowitz
title_sort How the small investor can use the theories of Graham and Markowitz
author Zin, Roque Alberto
author_facet Zin, Roque Alberto
Tarso, Edielson
author_role author
author2 Tarso, Edielson
author2_role author
dc.contributor.author.fl_str_mv Zin, Roque Alberto
Tarso, Edielson
dc.subject.por.fl_str_mv finanças
investimentos
pequeno investidor
fronteira eficiente
seleção de carteiras
finance
investments
small investor
efficient frontier
selection of portfolios
finanzas
inversiones
pequeño inversor
frontera eficiente
selección de cartera
topic finanças
investimentos
pequeno investidor
fronteira eficiente
seleção de carteiras
finance
investments
small investor
efficient frontier
selection of portfolios
finanzas
inversiones
pequeño inversor
frontera eficiente
selección de cartera
description The presence of individual investors in the main Brazilian stock exchange has increased in recent years. The vast majority are small investors who do not always have knowledge or resources to analyze in depth the assets in which they invest. The aim of this study is to verify the efficiency of the application in the Brazilian market of two strategies used by successful investors. As well, the use of a simple tool to evaluate and active assist in the composition of a portfolio to minimize the risks. To do so, the theories Benjamin Graham to choose the assets to be acquired, and the model of Harry Markowitz efficient frontier were used to define the contribution of each asset in the portfolio composition. For the calculations to Excel ® spreadsheet was used, a simple and affordable tool for all investors. The study period were the years 2006 to 2010, ie two years prior and two years following the global crisis of 2008. At the beginning of the period were formed five portfolios as filters Graham and the share of each asset was established as the criteria stated by Markowitz. The assets comprising the portfolio as well as its share in total investment are evaluated and changed only once at the beginning of each year. 
publishDate 2016
dc.date.none.fl_str_mv 2016-05-27
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.udesc.br/index.php/reavi/article/view/2316419004062015028
10.5965/2764747104082015028
url https://www.revistas.udesc.br/index.php/reavi/article/view/2316419004062015028
identifier_str_mv 10.5965/2764747104082015028
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.udesc.br/index.php/reavi/article/view/2316419004062015028/5420
dc.rights.driver.fl_str_mv Copyright (c) 2016 Roque Alberto Zin, Edielson Tarso
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2016 Roque Alberto Zin, Edielson Tarso
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Estado de Santa Catarina — UDESC
publisher.none.fl_str_mv Universidade do Estado de Santa Catarina — UDESC
dc.source.none.fl_str_mv Revista Brasileira de Contabilidade e Gestão; Vol. 4 No. 8 (2015); 028-041
Revista Brasileira de Contabilidade e Gestão; Vol. 4 Núm. 8 (2015); 028-041
Revista Brasileira de Contabilidade e Gestão; v. 4 n. 8 (2015); 028-041
2764-7471
10.5965/231641900406
reponame:Revista Brasileira de Contabilidade e Gestão
instname:Universidade do Estado de Santa Catarina (UDESC)
instacron:UDESC
instname_str Universidade do Estado de Santa Catarina (UDESC)
instacron_str UDESC
institution UDESC
reponame_str Revista Brasileira de Contabilidade e Gestão
collection Revista Brasileira de Contabilidade e Gestão
repository.name.fl_str_mv Revista Brasileira de Contabilidade e Gestão - Universidade do Estado de Santa Catarina (UDESC)
repository.mail.fl_str_mv rbceg.ceavi@udesc.br || paulo.barth@udesc.br
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