Examinando por Materia "Markowitz model"
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Ítem Aplicabilidad del Modelo Fama-French en el Mercado MILA(Universidad EAFIT, 2021) Trujillo Gómez, Juan Diego; Vélez Morales, Philip; Botero, Juan CarlosMILA is the Latin American Integrated Market for securities created in 2009 originally by Perú, Chile and Colombia to which Mexico joined in 2014. Due to its importance, it is necessary to have models that allow a more efficient estimation of the return on assets and generate greater assertiveness in investment decision-making by portfolio managers. This paper presents generalities of both, the MILA market and the submarkets that compose it, and seeks, in the first place, to determine the applicability of the Fama-French model in said market; and secondly, it seeks to generate possible portfolios in the MILA market that, following the criteria on risk factors described by Fama and French, have shown through history a better performance than that of a benchmark portfolio.Ítem Estructuración de un portafolio óptimo de inversión en divisas latinoamericanas aplicando el modelo de Markowitz(Universidad Eafit, 2020) Hurtado Sánchez, Nathalia Vanessa; Hoyos Burbano, Maria del Mar; Cardona Llano, Juan FelipeThe purpose of the research is to structure an optimal investment portfolio in Latin American currencies in the short term (one year), based on the Harry Markowitz theory, which allows the creation of an efficient portfolio through historical information on the asset. By applying this model and compared to the DXY index (strong currencies) in the last seven years, an optimal portfolio was obtained, as a profitable investment alternative for potential investors, under the assumption that they have each of the currencies that make up the portfolio to invest in dollars. The portfolio is made up of a basket of currencies from emerging Latin American countries such as the Peruvian Sol, Brazilian Real, the Colombian Peso, the Chilean Peso, and the Mexican Peso, five of the strongest currencies in Latin AmericaÍtem Evaluación comparativa de un portafolio de inversión óptimo mediante el modelo de Markowitz con acciones listadas en el Mercado Global Colombiano y sus pares en Estados Unidos(Universidad EAFIT, 2023) Díez Peláez, Sebastián; Cardona Llano, Juan FelipeThis study focuses on the construction and comparison of two portfolios that include the same stocks in both the Colombian Global Market (Mercado Global Colombiano, MGC) and the U.S. market (Mercado estadounidense, ME) during the period 2018-2022 using the Markowitz model. The main objective is to measure the generation of alpha with respect to the portfolio invested directly in the United States. The analysis focused on the comparison of profitability and volatility between both portfolios, for which two types of simulations were carried out: i) considering each year as a single period; and ii) covering a continuous period of five years. The results reveal that the MGC portfolio consistently outperformed its counterpart in terms of profitability, but not in risk. The research showed a challenge related to price dynamics in the MGC, where the value of shares remains constant for successive days, followed by sudden changes that can alter the calculation of simulations and statistics. The study provides valuable insights into the comparative performance of two different markets and highlights the opportunities generated by evaluating portfolios in international terms. Likewise, it proposes topics for future research, particularly addressing the characteristics of the MGC that influence the profitability of consolidated portfolios in said market.Ítem Impacto de la inclusión de commodities en un portafolio para el Mila y Brasil(Universidad EAFIT, 2023) Clavijo Moreno, John Jaime Andrés; Sánchez Moreno, Edwin Libardo; Botero Ramírez, Juan CarlosThe process of globalization that has occurred in the last 30 years has offered a variety of investment alternatives for the various actors participating in the financial market. Each investor adapts these alternatives to their risk profile, trying to find the most efficient point from a mean-variance perspective. Traditionally, sovereign bonds are sought, accompanied by investments with a higher risk component such as stocks. Commodities become an alternative to generate a wider portfolio diversification than the traditional one. Gao and Nardi (2008) suggest that these assets possess “qualities that allow for high returns, risk diversification, and protection against inflation" (p. 366). Taking the above into consideration, this work aims to measure the impact of the inclusion of commodities in a portfolio of stock market indices, stocks, and fix income for the members countries of the Latin American Integrated Market -MILA- and Brazil, in a period ranging from January 1, 2013, to December 31, 2022. The result is the design of a portfolio with the best assets under the mean-variance optimization model developed by Harry Markowitz.Ítem Optimización de portafolios inmobiliarios : una aplicación al mercado colombiano(Universidad EAFIT, 2019) Ramírez Arango, Andrés Felipe; Gómez Granados, Pamela Andrea; Yepes Raigosa, David Alejandro