Banca de DEFESA: GILSON PEREIRA DA SILVA

Diversification and Efficiency: Application of Data Envelopment Analysis in the definition of an investment portfolio in the Brazilian stock market

Network Data Envelopment Analysis. Capital Market. Harry Markowitz's Theory of Portfolio Diversification.

Based on Data Envelopment Analysis and the portfolio management theory proposed by Harry Markowitz, this paper studies the efficiency of asset diversification to compose an optimal portfolio of stocks among the shares of companies listed on the Brazilian Stock Exchange (B3). It is founded that from economic data of the companies, allied to the macroeconomic and political conjuncture, the use of statistical resources and application of the Network Data Envelopment Analysis (NDEA), it is possible to construct a sample of papers whose diversified combination makes this investment portfolio optimal for the investor's profile. To carry out this assessment, a multiple case study was conducted, with an intentional sample of 180 companies registered at B3, with data referring to each quarter of the year 2022, disclosed by each company in the sample. The variables used in this evaluation were two inputs (operating expenses and total assets), two intermediate inputs (net income and total revenues) and two outputs (average return on shares in the market and volatility). Then, the output-oriented NDEA was used to identify which companies are efficient to compose a stock investment portfolio. To measure performance and analyze the portfolio, the Ibovespa index, the main performance indicator for shares traded on B3, was chosen as a benchmark. The test resulted in a positive response to the hypothesis formulated regarding the possibility of success of this diversification method. Finally, it concludes with the recommendation of the method, being an adequate strategy to assist investors in decision making. and that can be complemented by means of predictive resources, such as the bootstrap model.