Examinando por Materia "Markowitz"
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Ítem ¿Los activos de inversión con criterios ASG generan valor para el inversionista? evidencia a partir de ETF(Universidad EAFIT, 2022) Hoyos, Jonathan Camilo; Restrepo Ochoa, Diana ConstanzaÍtem La diversificación del riesgo de cartera de créditos del sector financiero con base en la teoría de portafolios(Universidad EAFIT, 2006) Cardona Marín, Zulma Inés; Departamento de Finanzas de la Universidad EAFIT, Medellín; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem La diversificación del riesgo en la cartera de créditos del sector financiero con base en la teoría de portafolios(Universidad EAFIT, 01/12/2006) Zulma Inés Cardona Marín; Universidad EAFITÍtem Estructuración de portafolios mediante el modelo de Markowitz : análisis comparativo del Mercado Integrado Latinoamericano, MILA(Universidad EAFIT, 2022) Escobar Jiménez, Carlos Alberto; León Montoya, José Alejandro; Cardona Llano, Juan FelipeThe need for investment by agents in the Latin American stock market has brought new scenarios that allow investment portfolios to be diversified and new strategies to be created that minimize risk while increasing profitability. Thus, this paper analyzes some models for structuring portfolios applicable to Mercado Integrado Latinoamericano (MILA) and the time frame under which results can be obtained that help identify the evolution of the resulting baskets. At a theoretical level, the Markowitz model maximizes profitability for a certain defined level of risk. Undoubtedly, his proposal is one of the main theoretical assumptions of portfolio structuring and investment diversification. Therefore, the structuring of portfolios based on this model is proposed for the selection and definition of an optimal basket from the securities offered in MILA, in order to compare them with the main indices of each country that make up this economic bloc, and, by including the variation due to the exchange rate, evaluating the impact on profitability.Publicación Evaluación del efecto de incluir la predicción de rendimientos mediante la técnica de Support Vector Machines en la eficiencia del modelo de media-varianza de Markowitz(Universidad EAFIT, 2024) Aristizábal Nieto, Eliana Jiset; García Agudelo, Estefanía; Botero Ramírez, Juan CarlosPortfolio investment optimization aims to maximize expected returns given certain levels of risk. This process requires dealing with different variables in a nonlinear, noisy system due to market complexity. This is understood as a system that is affected by different external conditions that may be uncontrollable, where volatility influenced by unpredictable factors is present. In this study, an analysis of the results obtained by integrating machine learning techniques, specifically the set of algorithms called Support Vector Machines (SVM), into classical portfolio construction models is conducted. These algorithms allow for the analysis of large amounts of data and the estimation of asset return time series, resulting in a hybrid optimization model. Historical data from the stock markets of the United States and Colombia are used for numerical experiments; one set of data is used for model training (Training Set) and another for testing (Testing Set). Finally, the efficiency of the model is evaluated comparatively with the mean-variance portfolio selection theory proposed by Markowitz.Ítem Selección de portafolio y asignación óptima de capital para fondos de inversión colectiva en Colombia por perfil de riesgo de inversionista(Universidad EAFIT, 2022) Arrieta Bula, Eyis Lorena; Casas Bello, Edna Rocio; Botero Ramírez, Juan CarlosThis work will develop an optimal portfolio selection exercise composed of Colombian Collective Investment Funds, according to the risk profile of investors, based on the portfolio theory of Markowitz (1952). The results are to offer an investment alternative different from the traditional savings products currently available in the Colombian financial system, in accordance with the objective, time horizon and risk profile of the investor. The optimal combination of FICs for each risk profile is obtained by choosing the combination of FICs that has the maximum value of the Sharpe ratio (1964) when the efficient frontier is divided into three segments, one for each risk profile considered.