ANALYSIS OF PERFORMANCE AND EVALUATION OF THE INVESTMENTS IN VARIABLE INCOME OF THE 20 GREATERS PENSION FUNDS IN BRAZIL IN THE PERIOD OF 1997 TO 2000 / ANÁLISE DE DESEMPENHO E AVALIAÇÃO DA CARTEIRA DE INVESTIMENTOS EM RENDA VARIÁVEL DOS 20 MAIORES FUNDOS DE PENSÃO NO BRASIL NO PERÍODO DE 1997 A 2000

AUTOR(ES)
DATA DE PUBLICAÇÃO

2002

RESUMO

The present objective work intend to identify the forms that the pension funds can become financial instruments essential to financing the Brazilian economy, taking in consideration the accented development and internationalization of the world-wide markets. For this one becomes necessary to evaluate its performance in the stock markets, as well as of that it forms can become efficient, through the optimization of its risk strategy. In this direction, use of diverse models known in the theory of finances became, as the Markowitz`s Model, the Sharpe`s Single Index Model, the Capital Asset Pricing Model - CAPM, and the techniques for the determination the efficient borders of Elton &Gruber, as well as of the diverse measures of performance of existing investments as: Return tax, standard deviation, beta coefficient, Sharpe`s Index, Modigliani`s Index, Jensen`s Index, Treynor`s Index, Appraisal Ratio and Modigliani`s Index, so that if it could analyze and compare the result of the 20 existing greater pension funds in Brazil.

ASSUNTO(S)

corporate management governanca corporativa mercado de capitais stock markets fundo de pensao analise de performance avaliacao de carteiras performances analysis pension fund portifolio teory

ACESSO AO ARTIGO

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