AS TEORIAS DE CARTEIRA DE MARKOWITZ E DE SHARPE: UMA APLICAÇÃO NO MERCADO BRASILEIRO DE AÇÕES ENTRE JULHO/95 E JUNHO/2000

ABSTRACT Risk management is a crucial question and a challenge both to portfolio analysts and managers and to the academy. In 1952, Markowitz has presented the basis a what would be known as the Modern Portfolio Theory. In the next decade, based on Markowitz´s studies, Sharpe has developed a simplified model, called Single Index Model, whose application, because of the adoption of some simplification premises, became easier through a considerable reduction of the volume of required calculations. This work seeks to determine if the simplifications proposed by Sharpe´s model do significantly affect its results or, more specifically, if the portfolio optimization using both models - Markowitz´s original model and Sharpe´s Single Index Model - gives significantly different results.