– The purpose of this paper is to analyze portfolios chosen using an efficiency evaluation that considers risk and uncertainty and optimizes the allocation of invested capital using the Sharpe approach.
– The portfolios comprised shares on the Sao Paulo Stock Exchange. A chance-constrained data envelopment analysis stochastic optimization model was used, and return and variance were employed as input and output variables.
– The model was shown to be viable. It reduced the search space and considered data randomness.
– Three portfolios were proposed. The variation of the model’s risk criterion fulfilled the requirements of investors with different attitudes to risk. The model proposed can be used as a support tool for stock investment decisions.
