Financial theory applied to portfolios selection.

      Аннотация: The scope of this book is to explore and analyze the multicriteria models, in particular the application of ELECTRE III methodology, in order to construct defensive portfolios, in a buy and hold strategy, where all criteria and alternatives are equally weighed, using financial ratios (ROA, ROE, FA, GL and RL). So being, we firstly selected shares trading in PSI-Geral, from 1999 to 2011, and then an initial/historical period were defined, where eight portfolios were established one for each period, and a follow-up period considering one, two and three years holding. By conducting a descriptive analysis to each portfolio individually considering all periods, and a statistical analysis only to follow-up periods, we compare profitabilities and Sharpe’s index means calculated to ELECTRE III, CAPM, and PSI-20 TR. In the specific case of statistical analysis, we conducted parametric (t-student and ANOVA one-way tests) and nonparametric tests (Kruskal-Wallis and Mann-Whitney tests), subdivided into two analysis: a unit sample analysis from 2005 to 2011; and a two sample analysis, one from 2005 to 2007, and another one from 2008 to 2011.

Ключевые слова: CAPM, ELECTRE III, financial ratios, portfolio management, Portuguese index