Análise comparativa dos modelos de selecção de carteiras de acções de Markowitz e Konno

J. Júdice, J. Santos and C. Ribeiro

Abstract

In this paper a Konno portfolio selection model is presented and compared with Markowitz classical model. The computational effort for finding an optimal portfolio by both models is investigated and the quality of the corresponding portfolios is analyzed. The use of these two models in real-life capital markets is finally discussed.