O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORADRIANA BRUSCATO BORTOLUZZOSandoval Junior, LeonidasVenezuela, Maria Kelly2023-07-202023-07-202012https://repositorio.insper.edu.br/handle/11224/5886By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S˜ao Paulo), which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data. We also use a regression model in order to remove the market effect due to the common movement of all stocks. These two procedures are then used to build stock portfolios based on Markowitz’s theory, trying to obtain better predictions of future risk based on past data. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2010.18 p.DigitalInglêsconstrução de carteirasmatriz de covariânciateoria da matriz aleatóriaBM&F-Bovespaworking paperportfolio buildingcovariance matrixrandom matrix theoryBM&F-BovespaBEWP 161/2012