TY  - JOUR
T1  - Strategies for the Creation of Portfolios with Different Degrees of Sophistication: An Analysis of the Brazilian Capital Market
AU - Dias, Ricardo dos Santos AU - Reina, Donizete AU - Oliveira, Isaac Gezer Silva de AU - Neto, Eliezer Rodrigues da Silva AU - Silva, Vitor Correa da 
JO  - International Business Management
VL  - 10
IS  - 4
SP  - 429
EP  - 437
PY  - 2016
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2016.429.437
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2016.429.437
KW  - Return adjusted to risk
KW  -modern portfolio theory
KW  -efficient markets hypothesis
KW  -analysis of investments in stock
KW  -sophistication
AB  - According to Grossman and Stiglitz, the balance of a market in which agents invest more on the acquisition of information have higher performance investment portfolios is possible. This study investigates in line with said theoretic proposal, whether the sophistication in the method for selecting portfolios allows for a better performance. Three portfolio creation methods are evaluated by means of the information on market and accounting prices. The performance evaluation is developed based on three return methods adjusted to risk: the Treynor index, the Sharpe index and the Alfa de Jensen index. The results show that the three portfolio selection methods obtained normal returns. Nonetheless, no evidence was found demonstrating that the most sophisticated strategy obtained higher returns than the others.
ER  -