Publication
Estimando carteiras de investimento: um estudo dos setores de energia elétrica e telecomunicações durante o primeiro governo Lula
| Summary: | This article has the purpose to select an optimal portfolio based on Elton and Gruber’s Model for the Electric Power and Telecommunications sectors, using a set of 21 preferred and ordinary shares for the period of 2003, January to 2006, December quoted monthly at the São Paulo Stock Exchange (Bovespa). To reach this objective, the beta coefficients were estimated by the CAPM model. These estimates were accomplished using the Ordinary Least Squares Method (OLS), and the Maximum Likelihood GARCH (1,1), when the errors terms didn’t have constant variance and autocorrelation. The results point the formulations of an optimal portfolio indicate for a portfolio composed by seven shares. |
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| Main Authors: | Costa, Edward Martins |
| Other Authors: | Sobel, Tiago Farias; Souza, Hermino Ramos de; Távora Junior, José Lamartine |
| Subject: | Carteira ótima CAPM Bovespa |
| Year: | 2015 |
| Country: | Brazil |
| Document type: | article |
| Access type: | open access |
| Associated institution: | IBICT |
| Language: | Portuguese |
| Origin: | Oasisbr |
| Summary: | This article has the purpose to select an optimal portfolio based on Elton and Gruber’s Model for the Electric Power and Telecommunications sectors, using a set of 21 preferred and ordinary shares for the period of 2003, January to 2006, December quoted monthly at the São Paulo Stock Exchange (Bovespa). To reach this objective, the beta coefficients were estimated by the CAPM model. These estimates were accomplished using the Ordinary Least Squares Method (OLS), and the Maximum Likelihood GARCH (1,1), when the errors terms didn’t have constant variance and autocorrelation. The results point the formulations of an optimal portfolio indicate for a portfolio composed by seven shares. |
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