MPT

Teoria Moderna de Portfólios (MPT)

Teoria Moderna do Portfólio (MPT) is a financial model developed by economist Harry Markowitz in the 1950s. It provides a framework for constructing a portfolio of assets in a way that maximizes retorno esperado for a given level of risk, or alternatively minimizes risk for a given level of expected return. The theory is based on the principle of diversification, which suggests that a well-diversified portfolio can reduce unsystematic risk—the risk associated with individual assets.

MPT introduces the concept of the ‘efficient frontier,’ which is a graphical representation of the optimal portfolios that offer the highest expected return for a defined level of risk. Investors are encouraged to select portfolios that lie on this frontier to achieve the best possible risk-return trade-off. The theory also emphasizes the importance of considering the correlation between asset returns; assets that do not move in relation to each other can help reduce overall portfolio risk.

Componentes principais da MPT incluem:

• Retorno Esperado: The anticipated return on an investment, typically calculated as a weighted average of the expected returns of the individual assets in the portfolio.
• Risco (Volatilidade): Often measured by the standard deviation of returns, indicating how much the returns of an asset deviate from its retorno esperado.
• Correlação: A statistical measure that describes the degree to which two assets move in relation to each other.

Embora a MPT tenha sido influente no campo de finance, it also has limitations, including assumptions of rational investor behavior and market efficiency. Despite these drawbacks, it remains a foundational theory in gestão de investimentos and portfolio construction.