Investment Strategy in Brazil's Financial Market Wide Possibilities of Choice Between Risk and Return

摘要

The research identifies general characteristics of the Brazilian financial market based on the formation of an efficient portfolio composed of imaginary assets whose performance follows the main indexes of financial return identified in this market. Therefore, exercises are performed with different risk and return strategies. We can imagine ten representative types of investors with different goals of return on financial investments and, consequently, different risk aversions. Investments are efficient in the Markowitz sense. It is understood that five very traditional financial investments are available in Brazil, four of them in securities and one in Ita bank shares. A descriptive analysis of the performance of these assets over 23 years is offered, showing that, among other information, better returns are achieved by CDI indexed investments. The composition of the portfolios is calculated periodically, for the ten representative agents considered; also the quantity sold and purchased of each financial asset for each period and per agent, as well as the return of the individual portfolios, their cost and respective variances. In this hypothetical exercise, but done with real indexes, it is demonstrated by numerical simulation, in a program in Matlab, some interesting results. Among them, we accompanied the financial return on the portfolios and the monetary cost for each agent to maintain, over time, the same strategy.