Examinando por Materia "Mercado accionario colombiano"
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Ítem ¿Agrega valor el uso de la metodología Shrinkage en la estimación de la matriz de covarianzas para el mercado accionario colombiano?(Universidad EAFIT, 2019) Herrera Passos, Tomás; Agudelo Rueda, Diego AlonsoThis article proposes to estimate the covariance matrix of stock returns in Colombian case by an optimally weighted average of two existing estimators the sample covariance matrix and singleindex covariance matrix proposed by Sharpe (1963) following the methodology of Ledoit and Wolf (2003). This method is generally known as Shrinkage, it is standard in decision theory and in empirical Bayesian statistics and allows to improve the calculation of the central values of the estimate. In this case we analyze this methodology for Colombian stocks returns listed at BVC (Bolsa de Valores de Colombia) and participants in the COLCAP composition from January 15, 2008 to May 2, 2019. We have found that the sample covariance matrix is superior in estimating risk than the structural methodology (based on Single Index Model) and Shrinkage, in any type of portfolio composition. However, when estimating the covariance matrix through the Shrinkage methodology in the portfolios of minimum risk and equally weighted have been observed a performance practically equal to the conventional (sample) methodology.Ítem Aplicación del modelo Copula Opinion Pooling al mercado accionario colombiano(Universidad EAFIT, 2019) Yepes Valencia, Sebastián; Pantoja Robayo, JavierÍtem Las caminatas aleatorias no son de este mundo(Universidad EAFIT, 2005) Maya Ochoa, Cecilia; Torres Avendaño, Gabriel Ignacio; Departamento de Finanzas, Escuela de Administración, Universidad EAFIT; Departamento de Finanzas, Escuela de Administración, Universidad EAFIT; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Las caminatas aleatorias no son de este mundo. Teoría y revisión bibliográfica sobre evidencia empírica(Universidad EAFIT, 2005) Maya Ochoa, Cecilia; Torres Avendaño, Gabriel Ignacio; Universidad EAFITÍtem Las caminatas aleatorias no son de este mundo. Teoría y revisión bibliográfica sobre evidencia empírica.(Universidad EAFIT, 2005-06-15) Maya Ochoa, Cecilia; Torres Avendaño, Gabriel IgnacioThe empirical evidence gathered in this survey related to the hypothesis that stock returns follow a random walk, led us to the conclusion that random walks are not from this world. Besides the fact that the study was performed in a developed or an emerging market, the conclusion is the same. The random walk hypothesis is rejected since the series of stock returns covered by these studies do not follow an identical, independent distribution, and these exhibit some level of autocorrelation. The difference between developed and emerging markets is rather due to the magnitude of the serial dependence which prevents agents from obtaining excess returns in the first type of markets.Ítem Portfolio Optimization Using Predictive Auxiliary Classifier Generative Adversarial Networks : Application to the Colombian stock market(Universidad EAFIT, 2024) Arango López, Federico; Castellanos Ríos, SantiagoÍtem ¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas(Universidad EAFIT, 2009-06-06) Agudelo, Diego Alonso; Uribe, Jorge HernánAs posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. Unlike other investigations, this study applied “outof- sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping. In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant.