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| Format: | Artículo científico |
| Language: | en |
| Published: |
Instituto Federal de Educação, Ciência e Tecnologia de São Paulo
2016
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| Online Access: | https://www.redalyc.org/articulo.oa?id=449544488014 |
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Table of Contents:
- COVARIANCE STABILITY AND THE 2008 FINANCIAL CRISIS: THE IMPACT IN THE PORTFO LIO OF THE 10 BIGGEST COMPANIES IN BM&FBOVESP A BETWEEN 2004 E 2012 Leticia Naomi Ono Maeda Administración y Contabilidad Portfolio theory financial crisis asset risk management his study's purpose is to analyze the influence of the covariance fluctuation between assets over the structure of a portfolio of investments. To accomplish that, the covariances between the daily returns of the 10 biggest partici pants of the BM&FBovespa stock market are analyzed, before, during and after the 2008 financial crisis. The procedure of this research includes: (1) collection of returns of the selected stocks between 2004 and 201 2; (2) composition of the classical portfolio proposed by Mark owitz’s theory (1952); and (3) the measurement of the covariances in stability effect between the 10 selected assets over the maintenance of a portfolio’s risk and return,according to the preferences of a hypothetical investor. We discover that the asset’s covariance vary over time and affect the correlations among the assets, especially in financ ial crisis periods . Consequently, both risk and return of the portfolio may change greatly if the asset’s weights are not recalculated periodica lly. This supports the idea that portfolio theory might benefit from the development of stability weighted techniques. 2016 artículo científico 2236-269X https://www.redalyc.org/articulo.oa?id=449544488014 en http://www.redalyc.org/revista.oa?id=4495 Independent Journal of Management & Production application/pdf Instituto Federal de Educação, Ciência e Tecnologia de São Paulo Independent Journal of Management & Production (Brasil) Num.1 Vol.7