Portfólio permanente de Harry Browne: uma aplicação para o mercado brasileiro
Carregando...
Arquivos
Data
2016-05-27
Autores
Orientador(res)
Santos, Rafael Chaves
Métricas
Título da Revista
ISSN da Revista
Título de Volume
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.