Examinando por Materia "COVID"

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    Ítem
    Anuncios de política y su relación con el mercado bursátil : el caso de la crisis del COVID-19 en Colombia
    (Universidad EAFIT, 2020) Gutiérrez Martínez, Carlos Mario; Medina Gaspar, Daniel Santiago
  • No hay miniatura disponible
    Ítem
    Construcción de un portafolio bajo optimización dinámica con análisis de stress de un fondo mutual del sector transporte
    (Universidad EAFIT, 2021) Mayorga Sánchez, Jorge Humberto; Correa López, Yulian Alberto; Támara Ayús, Armando Lenin
    The purpose of this work is to build a portfolio with the most liquid shares of the Colombian Stock Exchange (BVC) using dynamic optimization, likewise, to look at the effect that COVID has had on the performance of said portfolio. The study period is between January 2016 and May 2021 and the actions of PFBCOLOM, ECOPETROL, BCOLOMBIA, GRUPOARGOS, ISA, NUTRESA, PFAVAL and ÉXITO were taken. For each of these actions, the best distribution of returns is established and the dynamic optimization process is executed in each of the portfolios, with which the optimal participation of the actions within each of the four sets was established, then a stress process is applied to each portfolio and the greatest possible loss exposed under this methodology is determined. It is concluded that when portfolios are disturbed by a stress process that includes the COVID period, they present a higher VaR and increase the result of other measures, thereby increasing the risk of exposure for investors.