Aplicação da teoria de Markowitz para alocação de ativos financeiros

Abstract

Saving money isn’t easy for the most of people, and knowing how to invest this money saved, a lot of times, becomes an enigma, because the investment is so important as the saving, if no, all of the effort to cut spending could be lost in a bad investment. When you makes a financial application, a lot of insecurities emegers about the invested capital’s remuneration, in other words, we’re always taking risks. Applying calculation and risk control methodologies makes it possible to decrease investment losses because of the fi nancial market instability. Using the Statistic, we can measure these risks, which enables a more accurate analysis of the possibilities, and makes it possible a decision making more grounded. In the financial market, an ordinary way to stimulate the comeback of an active is through the average of returns of this in relation to previous periods, while the associated risk usually is estimated by the detour of returns pattern. The diversification as a way to a wallet’s risks reduction was amply discussed and proven through studies about the correlation between actives. The Markowitz Portfolio Theory is used, in this work, to build portfolios that optimize the expected return in sync with the risk level determined. So, we can compare the performances of some mounted wallets with differents combina tions of actives, highlighting that with the best relation risk-return. In this work, we have as a goal analyze how the statistic tools could be utilized for the strategy’s planning of investment. So, we analyze the influence of the correlation between a lot of actives in the performance of a wallet. The chosen actives for the analysis were the Índice Bovespa, the gold, the dollar, the Tesouro Selic (LFT) and the Bitcoin. These actives were chosen to enable the portfolios creation with differents risk profiles. It was calculated the returns and risks of each active with real datas of the year of 2019 to select a great portfolio, and the performance of this wallet was calculated for the year of 2020. We verificate that the wallet with the better relation risk-return should contain 10% of LFT, 30% of IBOV, 40% of gold, 10% of dollar and 10% of bitcoin. Adopting this wallet to the final of 2019 we would get a return of 32,95% at the final of 2020. This analysis makes it possible to verify that a diverse wallet could generate returns even at the periods of insecurities in the market as it happened in 2020.