Financial theory applied to portfolios selection

ISBN-13: 9786202062701 / Angielski / Miękka / 2017 / 136 str.

Antonieta Lima; Vasco Salazar

Opis

The scope of this book is to explore and analyze the multicriteria models, in particular the application of ELECTRE III methodology, in order to construct defensive portfolios, in a buy and hold strategy, where all criteria and alternatives are equally weighed, using financial ratios (ROA, ROE, FA, GL and RL). So being, we firstly selected shares trading in PSI-Geral, from 1999 to 2011, and then an initial/historical period were defined, where eight portfolios were established one for each period, and a follow-up period considering one, two and three years holding. By conducting a descriptive analysis to each portfolio individually considering all periods, and a statistical analysis only to follow-up periods, we compare profitabilities and Sharpe's index means calculated to ELECTRE III, CAPM, and PSI-20 TR. In the specific case of statistical analysis, we conducted parametric (t-student and ANOVA one-way tests) and nonparametric tests (Kruskal-Wallis and Mann-Whitney tests), subdivided into two analysis: a unit sample analysis from 2005 to 2011; and a two sample analysis, one from 2005 to 2007, and another one from 2008 to 2011.

O autorze

ANTONIETA LIMA: Professor in University Portucalense Infante D. Henrique. Professor in ISVOUGA, Member of several research centers, Member of ISVOUGA Technical-Scientific Council, Editor of online journal PJFMA, Reviewer of several online journals, Accountant and Consultant in several companies, Managing Partner of a consulting firm.