Maestría en Administración Financiera (tesis)
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Examinando Maestría en Administración Financiera (tesis) por Materia "Acciones"
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Ítem Diseño y análisis de una estrategia de inversión enfocada en momentum y aplicada en el mercado accionario colombiano(Universidad EAFIT, 2024) Uribe Restrepo, Andrés; Orozco Echeverry, César AugustoInvesting in the stock market, or "the biggest game in town" as Burton G. Malkiel calls it in his book A Random Walk Down Wall Street, has been a topic of wide interest worldwide. From stay-at-home parents to pure mathematicians like Jim Simons (1938-2024) interact in a public market where they set prices according to strategies or opinions. One of the strategies known in financial jargon is momentum. Within its applications there may be variations or modifications, but its basis is based on selecting assets based on recent price behavior, taking advantage of market inertia. Brought to Colombia, and through the analysis of the behavior of stock prices, we seek to evaluate the viability and performance of a strategy based on momentum to generate consistent returns over one year applied in Colombia’s stock market.Ítem Optimización financiera de los portafolios de inversión de los fondos mutuales de una entidad cooperativa colombiana(Universidad EAFIT, 2020) Mesa Cardona, Paulin Tatiana; Ome Narváez, Leidy Tatiana; Pérez Ramírez, Fredy OcarisMutual funds are collective investment securities professionally managed by cooperative entities. These funds currently manage investments of considerably high values, which represents a challenge in addressing the problem of selecting the optimal portfolio. In this sense, the Black-Litterman model is widely accepted in the structuring of financial asset portfolios, by incorporating experts expectations on market behavior, achieving better levels of diversification. This model was applied in 2018 to the stock portfolio of the mutual funds of a Colombian cooperative entity, using 2020 target prices as expectations, and it was found that the optimal portfolio turned out to be much more efficient in terms of risk and profitability than the initial one; moreover, it was also found that its maximum expected loss, calculated by the Monte Carlo simulation method, could be considered correct at a confidence level of 99%.