Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
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2009-01-26
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This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains more outliers and fatter tails than that predicted from a normal distribution. Portfolio stability properties and Sharpe ratio of returns were used to compare different portfolios that came out from the classical (where risk and return were estimated by the maximum likelihood estimator) and robust estimates of risk and return. Robust portfolios are more stable than the classical ones but their Sharpe ratio of returns is no different from their classical counter-part