Eficiência da Carteira de Mercado no Plano Média-Variância

The objective of this study is to answer the criticism to the CAPM basedon findings that the market portfolio is far from the efficient frontier. Werun a numeric optimization model, based on Brazilian stock market data from2003 to 2012. For each asset, we obtain adjusted returns and standarddeviations such that (i) the efficient frontier intersects with the marketportfolio and (ii) the distance between the adjusted parameters and thesample parameters is minimized. We conclude that the adjusted parameters arenot significantly different from the sample parameters, in line with theresults of Levy and Roll (2010) for the USA stock market. Such resultssuggest that the imprecisions in the implementation of the CAPM stem mostlyfrom parameter estimation errors and that other explanatory factors forreturns may have low relevance. Therefore, our results contradict theabove-mentioned criticisms to the CAPM in Brazil.