This article employs Harry Markowitz's mean-variance model in the formation of macro portfolios of taxes with optimal participation of tax aggregates in federal revenue. These optimal macro portfolios, or efficient macro portfolios, are those that produce the lower revenue growth instability for a given expected growth rate, or the higher expected growth rate for a given acceptable growth instability. We evaluated the effects of the optimal participation proposed by our model for the revenue of a set of tax aggregates and compared its growth profile with that achieved by the federal government. Our experimental results showed that, in the context examined, the Brazilian federal tax structure operates in a suboptimal level of instability-growth. Through the efficient diversification of tax aggregates revenues, it was possible to achieve, for the conservative profile, a cumulative revenue growth 28 percentage points higher than the realized cumulative revenue growth achieved with the same tax aggregates and with only 25% of its instability - a risk four times smaller. In moderate profile, we achieved a cumulative revenue growth 33 percentage points higher with the same level of instability.
revenue risk; fiscal policy planning; portfolio optimization
