摘要：This paper aimed to assess whether a model that uses semivariance as the risk measure, for selecting monthly portfolios of investment for the Brazilian Capitals Market, presents itself as more profitable than the variance (traditional) model, which is defined from mean-variance measures. This research was performed using assets traded in the Brazilian Equity Market. Sample was composed of 28 companies which had participation in the Index of Stock Exchange of São Paulo (IBOVESPA). We defined that investment portfolios would have their performance monthly assessed, from January to November 2013. The monthly performance of investment in portfolios of assets showed that the semivariance-based model has better result when compared to the variance model
