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Otimização de portfólios: análise de eficiência

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  • Rotela Junior, Paulo
  • Pamplona, Edson de Oliveira
  • Salomon, Fernando Luiz Riêra

Abstract

This article aims to analyze the behavior of a portfolio of assets selected by Data Envelopment Analysis (DEA), optimized by the Sharpe approach, and compare it to portfolios of assets obtained only by DEA or the Sharpe approach. To do that, we used the DEA model to assess the efficiency of shares of the São Paulo Stock Exchange (Bovespa), employing return, variance and other indicators such as input and output variables. Also, we used the Sharpe approach to optimize the portfolio composition. In the comparison of portfolios, we noted that the resulting combination of both models performed better than the portfolios optimized by only one of the models.

Suggested Citation

  • Rotela Junior, Paulo & Pamplona, Edson de Oliveira & Salomon, Fernando Luiz Riêra, 2014. "Otimização de portfólios: análise de eficiência," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 54(4), July.
    • Handle: RePEc:fgv:eaerae:v:54:y:2014:i:4:a:28870
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