Análise comparativa dos modelos de selecção de carteiras de acções de Markowitz e Konno

Joaquim João Júdice §

Celma O. Ribeiro †

Jorge P. J. Santos ‡

§ Departamento de Matemática - Universidade de Coimbra

Joaquim.Judice@co.it.pt

† Departamento de Engenharia de Produção - Escola Politécnica da Universidade de S. Paulo, Brasil

celma@usp.br

‡ Departamento de Matemática - Escola Superior de Tecnologia de Viseu - IPV

jsantos@mat.estv.ipv.pt

 

 

Title: A comparative analysis of the Markowitz and Konno portfolio selection models

Abstract

In this paper Konno portfolio selection model is presented and compared with Markowitz classical model. The computational effort for finding an optimal portfolio by both models is investigated and the quality of the corresponding portfolios is analyzed. The use of these two models in real-life capital markets is finally discussed.

Keywords: Portfolio Selection Models, Risk Analysis, Linear Programming, Quadratic Programming

 

 

Resumo

Neste artigo é discutido um modelo desenvolvido por Konno para a selecção de carteiras de activos financeiros e o seu desempenho é comparado com o do modelo clássico de Markowitz. Para além de analisar a velocidade de obtenção de respostas, procura-se avaliar qualitativamente as soluções obtidas e discute-se a efectiva aplicação dos modelos dentro das práticas comuns ao mercado de capitais.

 

 

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