Matemática financeira: o Modelo de Markowitz

Abstract

The aim of this work is to present a mathematical introduction to the main concepts involved in Markowitz Theory. The portfolio selection developed by Markowitz shows the importance of asset portfolio diversification, requiring that the sectors in which they are located are different. In this sense, statistical knowledge such as variance, standard deviation and covariance is used to analyze the expected values and risk of assets. Thus, an investment portfolio that shows less risk and greater profitability is sought, concluding which percentage of each asset in this portfolio is ideal.