Examinando por Materia "Equity Market"

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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.