Examinando por Materia "Black-Litterman"
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Publicación Aplicación del modelo Black-Litterman para la construcción de un portafolio de renta fija global, mediante la estructuración de un benchmark propio y estrategia de cobertura vía forwards(Universidad EAFIT, 2022) Mc Master Molina, Carl Vincet; Botero Ramírez, Juan CarlosThe access to different investment assets, the search for diversification, and the application of measures as for quantification and hedging risk are relevant factors for building and managing international investment portfolios. Therefore, the objective of the present paper aims to the application of Black-Litterman portfolio model on building a global fixed income portfolio, which is made up of high yield and investment grade ETFs, as well as developed countries government bonds. Furthermore, in order to increase hedging, diversification ratio, and to minimize risk, a benchmark, which is made up of both global fixed income indices and assets from the same category will be built. Finally, a hedging strategy will be proposed through forwards in order to minimize the inherent risk due to currency depreciation.Publicación Aplicación del modelo Copula Opinion Pooling al mercado accionario colombiano(Universidad EAFIT, 2019) Yepes Valencia, Sebastián; Pantoja Robayo, JavierPublicación Optimización de portafolios financieros mediante enfoques de machine learning y computación cuántica : un caso de estudio(Universidad EAFIT, 2024) Agudelo Zuluaga, Mariana; Almonacid Hurtado, Paula María; Lalinde Pulido, Juan GuillermoPublicación Portafolio de activos compuesto por contratos de futuros sobre índices bursátiles a partir del modelo Black-Litterman(Universidad EAFIT, 2021) Arango Castillo, Sebastian; Zapata Nohavá, Daniel Esteban; Cardona Llano, Juan FelipeFinancial derivatives, with exposure in the international market through futures that replicate stock indexes, generate a great investment opportunity in the colombian market, through speculation instruments and higher expected returns. Under this framework, and with the interest of using alternative investment vehicles, this research seeks the construction of a portfolio of assets composed of futures contracts of stock indexes based on the Black-Litterman model, evaluating the generation of excess returns against to a passive strategy as a benchmark.