Uso da técnica DEA-Sharpe na análise do comportamento de carteiras de investimento

The inherent risk of the stock market permeates the decision-making process at the moment when it is necessary to decide which assets will be part of the portfolio to form an efficient portfolio of investments. The search for optimization models that provide a better way to resolve and minimize risks attract the eyes of investors and researchers. The objective of this article is to analyze the behavior of investment portfolios formed by assets selected using the Data Envelopment Analysis tool [DEA] and using the Sharpe Index as an indicator to compare them with portfolios without using it. In the course of the analysis, it was possible to observe that the application of the DEA proved feasible and made it possible for the analysis units to discriminate in a cohesive and coherent way.