Selección de una cartera de inversión para el seguimiento de índices y creación de fronteras eficientes

Abstract

The present work is a technical analysis by applying the theory of Markowitz (1952, 1959). The same which is intended to show that the creation of a portfolio that provides the highest return for a given level of risk in order to adapt to an investor according to their risk profile. The methodology used was the linear optimisation in the stock market indices; Bovespa, Dax30 and Nasdaq-100 The results obtained were positive highlighting the portfolio of all assets in the Bovespa. This way also an index (Index Tracking) used a methodology of mathematical optimization to answer to obtain a behavior similar to the index of the study. The most out-standing results were obtained by portfolios of 5 and 10 assets. It was obtained in all the indexes turned out to be positives being the most well-known that of the portfolio of 10 assets of Bovespa.