EFFICIENT PORTFOLIOS AND NAIVE: A COMPARATIVE ANALYSIS USING THE MARKOWITZ MODEL

Tácito Augusto Farias () and Fábio Rodrigues de Moura ()
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Tácito Augusto Farias: Universidade Federal de Sergipe (UFS)
Fábio Rodrigues de Moura: Universidade de São Paulo

Revista de Economia Mackenzie (REM), 2013, vol. 11, issue 2, 114-152

Abstract: This study aims to analyze if the Markowitz Model for a stock portfolio composition is more efficient than a simple strategy of naive diversification, in a typical year of investment. For this purpose, we simulate two scenarios using a set of stocks among the most liquid traded on the Brazilian stock market. In the first scenario there are only two stocks in the portfolio, and in the second one there is a possibility to invest in five different stocks. The results show that in the first scenario the Markowitz optimization proceeding generated a more efficient portfolio than the naive one, whilst in the second scenario the naive diversification was more efficient.

Keywords: Markowitz model; Efficient portfolios; Naive portfolios. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:11:2:may:aug:2013:p:114-152

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