Examinando por Materia "Modelo Black-Litterman"

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    Ítem
    Optimización financiera de los portafolios de inversión de los fondos mutuales de una entidad cooperativa colombiana
    (Universidad EAFIT, 2020) Mesa Cardona, Paulin Tatiana; Ome Narváez, Leidy Tatiana; Pérez Ramírez, Fredy Ocaris
    Mutual funds are collective investment securities professionally managed by cooperative entities. These funds currently manage investments of considerably high values, which represents a challenge in addressing the problem of selecting the optimal portfolio. In this sense, the Black-Litterman model is widely accepted in the structuring of financial asset portfolios, by incorporating experts expectations on market behavior, achieving better levels of diversification. This model was applied in 2018 to the stock portfolio of the mutual funds of a Colombian cooperative entity, using 2020 target prices as expectations, and it was found that the optimal portfolio turned out to be much more efficient in terms of risk and profitability than the initial one; moreover, it was also found that its maximum expected loss, calculated by the Monte Carlo simulation method, could be considered correct at a confidence level of 99%.