Examinando por Materia "Black-Litterman Model"

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    Agrega valor el modelo Black-Litterman en portafo- lios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016
    (Universidad EAFIT, 2018-11) Luna-Ramírez, Susana; Arango, Diego A.
    The Black-Litterman model (BL) has been offered as an alternative to the classical Markowitz Mean-Variance framework, to structure well-diversified portfolios that incorporate visions from fundamental analysts. We apply this model to stock portfolios in the countries of the Mercado Integrado Latinoamericano (MILA): Colombia, Chile, Mexico and Peru, starting from the constituents of the main stock market indexes. As perspectives, we use the historical analyst ́s recommendations in Bloomberg for the period 2008-2016. We find that portfolios created with BL outperform the main index, both in average return and in alpha, in each of the four countries. Moreover, a regional BL portfolio that combines the four BL country portfolios, outperforms a regional Benchmark, measured in dollars, in each one of three alternatives of Us dollar hedge.
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    Alternativa de inversión en productos Offshore para reducir el riesgo local
    (Universidad EAFIT, 2023) Tobón Álvarez, Julián Camilo; Jiménez Suaza, Sara Milena; Botero Ramírez, Juan Carlos
    Offshore investments with local products are an alternative that helps to reduce local risk, especially in developing countries like Colombia where the country risk is medium to high. This can be achieved through better diversification by operating the products in risk environments different from their own. Hence, taking the ETFs as a risk-diversifying alternative with multiple assets and the help of mathematical models for portfolio construction and price projection, the outcome will be a balanced portfolio which, compared to the results of the main Latin-American indices during the last 10 years, can exceed them in terms of higher profitability and a lower risk profile.
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    Construcción de un portafolio en el mercado brasileño : un enfoque basado en el modelo de Black-Litterman
    (Universidad EAFIT, 2024) Palacios Racines, Lizeth Carolina; Miller Rengifo, Genner Enrique; Botero Ramírez, Juan Carlos
    The equity market represents a significant trading volume, modeling price formation and offering good investment opportunities in both national and international markets. In this context, and with the aim of developing an investment portfolio in Brazil, this research focuses on constructing a portfolio composed of equity assets using the Black-Litterman (BL) model to evaluate its performance compared to other models such as Markowitz and CAPM. Portfolios with weekly periodicity and a time horizon exceeding 10 years will be modeled to compare the returns of BL and the aforementioned models. The findings indicate that the Markowitz model provides more diversified investment opportunities, while BL is more concentrated but aligns with higher return expectations.