APLICAÇÃO DA PROGRAMAÇÃO NÃO-LINEAR PARA OTIMIZAÇÃO DE CARTEIRA COMPOSTA POR AÇÕES LISTADAS NO IBOVESPA

Resumo

This study aimed to indicate the composition of a minimum variance portfolio for the 59 stocks listed in the Bovespa Index (Ibovespa), considering as a performance benchmark the return of Ibovespa over the analyzed period. A non-linear programming problem was formulated based on Markowitz (1952) mean-variance model and it was collected stock price quotes which were inflation-adjusted between the period of May 2015 to April 2016. Results indicated that the minimum risk portfolio for a specific monthly return of -0.63%, which represents Ibovespa average return for the studied period showed variance of 0.0278%. Optimal portfolio composition has 19 of the 59 stocks analyzed in the sample. Among the portfolio stocks, the most participant ones were BEV3, EQTL3, LAME4, FIBR3 and EMBR3, with shares of 25.4%, 13%, 10.6%, 5.9% and 5.8%, respectively. It is noteworthy that the present results are limited to the analyzed model, sample and period. For further researches, it is suggested to compare the used methodology with other techniques. It also interesting to compare it to other countries and other indexes as benchmarks.

key words: Obovespa. Non-linear programming. Portifolio Theory.