Portfólio permanente de Harry Browneuma aplicação para o mercado brasileiro

Resumo

This thesis proposes, in an unprecedented manner in Brazil, an extension of the investment allocation method called Permanent Portfolio, created by Harry Browne and detailed by Rowland and Lawson. The extension is to adjust the rebalancing of the portfolio based on the portfolio selection method derived from the theory of the efficient frontier of Markowitz (1952). Empirical evidence based on Brazilian assets and monthly data from December 2005 until December 2015, shows that the proposed extension allows (i) reduce the risk in the portfolio measured by standard deviation of returns at 1.24% and (ii) raise the expected returns for the period at 1.7% per average.

Ficha do documento

Tipo

Dissertação

Ano

2016

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/16980

Temas

Economia

Palavras-chave

Portfólio permanenteFronteira eficienteDiversificaçãoEconomiaInvestimentosInvestimentos - AdministraçãoAlocação de ativos