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

Authors

  • Francisco Antônio Mesquita Zanini Universidade do Vale do Rio dos Sinos
  • Antonio Carlos Figueiredo Pontifícia Universidade Católica

Abstract

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.

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Author Biographies

Francisco Antônio Mesquita Zanini, Universidade do Vale do Rio dos Sinos

Professor da Universidade do Vale do Rio dos Sinos – UNISINOS

Antonio Carlos Figueiredo, Pontifícia Universidade Católica

Professor da Pontifícia Universidade Católica do Rio de Janeiro. IAG – Instituto de Administração e Gerência

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Published

2008-07-23

Issue

Vol. 6 No. 2 (2005)

Section

Presentation

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