Template-Type: ReDIF-Paper 1.0
Author-Name:  Leonidas Sandoval Junior
Author-Name-First: Leonidas
Author-Name-Last: Sandoval Junior
Author-Name:  Adriana Bruscato
Author-Name-First: Adriana
Author-Name-Last: Bruscato
Author-Name: Maria Kelly Venezuela
Author-Name-First: Maria Kelly
Author-Name-Last: Venezuela
Title: Building portfolios of stocks in the São Paulo Stock Exchange usingRandom Matrix Theory
Abstract:  By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S˜ao Paulo), which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data. We also use a regression model in order to remove the market effect due to the common movement of all stocks. These two procedures are then used to build stock portfolios based on Markowitz’s theory, trying to obtain better predictions of future risk based on past data. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2010.
Length:  18 pages
Creation-Date:  2012
Order-URL: https://repositorio.insper.edu.br/handle/11224/5886
File-URL: https://repositorio.insper.edu.br/handle/11224/5886
File-Format: text/html
File-Function: Full text
Number: 161
Handle: RePEc:aap:wpaper:161