Teoria de Markowitz aplicada ao índice de diversidade B3

Abstract

With the wide range of financial applications available in the Brazilian market, investors face challenges in the efficient allocation of resources, especially considering the return-risk trade off. This paper aims to investigate whether it is possible to select a subset of assets that make up the Diversity Index (IDIVERSA B3) to create a portfolio capable of outperforming the index itself, using Modern Portfolio Theory, based on Markowitz’s model. The total analysis covers the period from January 2019 to December 2024. The Markowitz portfolio was based on historical data of daily stock prices listed on the Brazilian stock exchange B3, collected and built from January 1, 2019, to December 31, 2019. The optimal portfolio was analyzed after its collection and construction, from January 1, 2020, to December 31, 2024. This period of construction and analysis was chosen for being relevant in the Brazilian financial market, particularly due to the pandemic volatility period. This study confirms that, even in volatile scenarios, a single optimal portfolio built can outperform benchmark indices, highlighting the importance of diversification in maximizing returns and controlling risks.