Examinando por Materia "PORTAFOLIO DE INVERSIONES"
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Ítem A Robust Version of a Risk-Inverse Weighing Methodology for Portfolio Selection(Universidad EAFIT, 2024) Renza Chavarría, Juan Felipe; Ortiz Arias, SantiagoÍtem Active portfolio management process with sentimental factor. Iterative deep learning approach(Universidad EAFIT, 2023) Alemán Muñoz, Julián Alberto; Pantoja Robayo, Javier OrlandoÍtem ¿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 administración del riesgo en el Mercado Forex(Universidad EAFIT, 2014) López Suárez, Santiago; Mora Cuartas, Andrés MauricioLos inversionistas, desde el ángulo especulativo y con enfoque en el análisis técnico abordan los mercados financieros con estrategias que involucran mucho su percepción propia -- Los avances tecnológicos no solo facilitan el tener una cercanía constante a los mercados financieros a través de plataformas o software descargables, sino facilidad de acceso a diversas estrategias técnicas vigentes aplicadas a estos mercados, pero lo que diferencia el éxito del fracaso al especular con activos financieros corresponde a una correcta administración del riesgo -- El mercado de divisas brinda altos niveles de apalancamiento donde inversionistas ingresan con bajos capitales y obtienen elevados retornos, pero éste también eleva el nivel de riesgo al que se exponen -- Tener control del riesgo anticipa y limita las pérdidas en un mercado apalancado y volátil -- Controlar el riesgo y reinvertir capitales en la operación es la clave para tener un crecimiento geométrico -- Este trabajo presenta un Plan de Trading con correcta administración de riesgo implementado en el mercado de divisas -- El plan converge la estrategia de los patrones armónicos de Scott Carney y el enfoque de Sam Seiden de oferta y demanda, donde los resultados son evaluados en un modelo de optimización con el fin de maximizar los retornos y minimizar el riesgo al que se exponeÍtem Alternativa de inversión en productos Offshore para reducir el riesgo local(Universidad EAFIT, 2023) Tobón Álvarez, Julián Camilo; Jiménez Suaza, Sara Milena; Botero Ramírez, Juan CarlosOffshore investments with local products are an alternative that helps to reduce local risk, especially in developing countries like Colombia where the country risk is medium to high. This can be achieved through better diversification by operating the products in risk environments different from their own. Hence, taking the ETFs as a risk-diversifying alternative with multiple assets and the help of mathematical models for portfolio construction and price projection, the outcome will be a balanced portfolio which, compared to the results of the main Latin-American indices during the last 10 years, can exceed them in terms of higher profitability and a lower risk profile.Ítem Análisis de activos financieros en Colombia; cobertura a posiciones en Bitcoin(Universidad EAFIT, 2022) Escobar Anduquia, Christian Daniel; Avella Jiménez, Sebastián Darío; Rojas Ormaza, Brayan RicardoÍtem Análisis de riesgo crediticio utilizando matrices de transición(Universidad EAFIT, 2020) Palacios Caciedo, Aura Liliana; Echeverri Tamayo, Rodrigo Andres; Tamara Ayus, Armando LeninÍtem Análisis técnico y cuantitativo vs gestión tradicional de portafolios : una mirada teórica-práctica a sus desempeños históricos(Universidad EAFIT, 2023) Mesa Jaramillo, Alejandro; Mier Rodríguez, Oscar Andrés; Peña Higuavita, Germán AdolfoWithin portfolio management, the strategy used by investors is summarized in a document called investment policy, which serves as a roadmap for executing their plan. Normally, in the academic and professional environment, traditional strategies based on fundamental analysis tend to be implemented and other strategies based on non-traditional methods such as technical analysis and quantitative methods that may have better performance under certain market conditions are left aside. This theoretical-practical study will seek to compare the performance of the main traditional versus non-traditional strategies when managing an investment portfolio in equity assets. These results are compared using objective metrics obtained through historical data of the last 10 years for different mutual funds and hedge funds.Ítem Análisis y cuantificación de la probabilidad de incumplimiento en una cartera de crédito de una cooperativa de ahorro y crédito en Colombia(Universidad EAFIT, 2022) Boutrous Restrepo, Jennifer Maria; Yepes Montoya, Elian; Támara Ayús, Armando LeninÍtem 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 Aplicación de modelos de inteligencia artificial y aprendizaje automático para la previsión de precios y la optimización de portafolios : un enfoque integrado con datos estructurados y no estructurados con el fin de compararse con el S&P 500 como benchmark(Universidad EAFIT, 2023) Vélez García, Santiago; Botero Ramírez, Juan CarlosThis study presents an integrated approach of artificial intelligence and machine learning models, combining neural networks for price forecasting and portfolio optimization in the financial industry. The results show that the integrated approach outperforms other financial analysis methods and provides more effective tools for market professionals compared to a buy and hold strategy represented in the analysis by the S&P500. The artificial intelligence and machine learning models used in this study enable the identification of patterns and trends in financial data, helping investors make more informed and accurate decisions. Furthermore, the study demonstrates that the inclusion of unstructured data, such as news and social networks, in financial analysis can significantly improve the accuracy of price predictions achieving an R2greater than 65% and portfolio optimization.Ítem Aplicación del modelo Black-Litterman para la construcción de un portafolio de renta fija global, mediante la estructuración de un benchmark propio y estrategia de cobertura vía forwards(Universidad EAFIT, 2022) Mc Master Molina, Carl Vincet; Botero Ramírez, Juan CarlosThe access to different investment assets, the search for diversification, and the application of measures as for quantification and hedging risk are relevant factors for building and managing international investment portfolios. Therefore, the objective of the present paper aims to the application of Black-Litterman portfolio model on building a global fixed income portfolio, which is made up of high yield and investment grade ETFs, as well as developed countries government bonds. Furthermore, in order to increase hedging, diversification ratio, and to minimize risk, a benchmark, which is made up of both global fixed income indices and assets from the same category will be built. Finally, a hedging strategy will be proposed through forwards in order to minimize the inherent risk due to currency depreciation.Ítem Aprendizaje reforzado profundo para la administración de portafolios de renta fija(Universidad EAFIT, 2023) Mejía Estrada, David; Almonacid Hurtado, Paula MaríaThis paper applies deep reinforced learning techniques to the management of fixed income investment portfolios, specifically sovereign securities issued by the Colombian government. The period of analysis covers seven years, from January 2015 to December 2022. We find that it is possible to generate profitability and achieve efficient risk management because of the trading strategies that deep reinforced learning models foresee more convenient given certain market conditions and of each of the securities, such as their implied risk in metrics like DV01, Duration and Convexity. Finally, this study contributes to the field of machine learning and artificial intelligence applications on investment portfolio management, with a relatively new focus on the fixed income market in general, consolidating itself as one of the first works to apply reinforcement learning techniques to the Colombian public debt market.Ítem Aproximación a la construcción de un portafolio activo de deuda pública colombiana(Universidad EAFIT, 2017) Delgado Upegui, Juan Sebastián; Gaviria Benítez, Daniel Esteban; Colorado González, José AdolfoNowadays, the Colombian capital market offers different investment alternatives, such as fixed income, equities, derivatives and structured products -- Among fixed income instruments, local government bonds (TES B) play an important role within the market, due to its traded volumes and the participation of the main agents -- Considering the importance of the local sovereign debt, an active investment portfolio was constructed using TES by assessing its performance versus a benchmark portfolio -- The portfolio was built using historical data, defining fundamental, market variables and its relevance over the portfolio -- Finally, an optimization was done to find the optimum portfolioÍtem Aproximacion a la teoria del VAR en un portafolio no cotizado en bolsa(Universidad EAFIT, 2023) Díaz Gómez, Diego Fernando; Rojas Ormaza, Brayan RicardoThis work seeks to apply the concepts of Value at Risk and the Sharpe Ratio criterion to a portfolio of shares that are not listed on stock exchanges, in order to find the usefulness of a valuation methodology based on the intrinsic value of the shares. The unusual characteristics of this type of investment are considered, as well as the methods used to align the financial theory that supposes that it operates under perfect markets. Likewise, adaptations and validations of the theory are made versus the reality of the data collected, finding factual explanations for the deviations of results. Finally, it is found how efficient market theories can be applied to closed markets with the proper validations and adaptations, being very useful to professionalize the management of these stock portfolios.Ítem Una aproximación al cálculo del VaR para las acciones del Mercado Integrado Latinoamericano (MILA) mediante metodologías paramétricas y no paramétricas(Universidad EAFIT, 2015) Cuadros Alarcón, Leidy Korin; Narváez Semanate, Leider Antonio; Pérez Ramírez, Fredy OcarisEl Mercado Integrado Latinoamericano (MILA) se planteó desde su nacimiento como un mecanismo de internacionalización de los mercados de valores de Chile, Colombia y Perú, en sintonía con los fuertes lazos económicos y políticos que unen a estos tres países -- Asimismo, ha supuesto el ensanchamiento del horizonte de inversión para individuos e instituciones, al permitirles a los inversionistas locales comprar y vender acciones de empresas domiciliadas en entornos geográficos disímiles, que participan en diversos sectores económicos y que, en consecuencia, están expuestas a factores de riesgo diferentes; en últimas, les ha permitido ampliar el abanico de opciones de inversión en renta variable y, por tanto, ha mejorado las posibilidades de diversificación de los portafolios -- En el presente trabajo investigativo se cuantifica el impacto que, en términos de riesgo de mercado ha tenido el MILA, utilizando como referencia la medición y comparación del VaR (valor en riesgo) entre portafolios que se han diversificado por medio del MILA y aquellos que solo han invertido en activos locales; para tal efecto se utilizan las series del índice regional MILA S&P 40 y de los índices locales IPSA, COLCAP e IGBVL -- El ejercicio de medición del VaR a través de metodologías paramétricas, basadas en las distribuciones normal y t de Student, así como en métodos no paramétricos, como la simulación histórica, logró demostrar los efectos positivos, en términos de medición del riesgo de mercado, en portafolios de acciones inscritas en el MILAÍtem Barreras y oportunidades para la transición hacia inversiones sostenibles en Colombia(Universidad EAFIT, 2024) Sánchez Ramírez, Daniel Santiago; Franco Romero, Paul Francisco; Vergara Garavito, Judith CeciliaÍtem Burkenroad Empresa de Telecomunicaciones de Bogotá(Universidad EAFIT, 2021) Contreras Patiño, Ingrith Viviana; Bernate Castañeda, Jarberton; Medina Arango, Oscar EduardoThe focus on efficiency in costs and expenses, together with a greater demand due to the current situation (Covid-19), has allowed ETB to generate better results in the generation of resources from the operation. The macroeconomic perspectives, together with the fulfillment of the financial and strategic assumptions, determine the projected price of the share at $ 232 with a potential appreciation of 15.81% compared to the current price ($ 200 - September 2021).Ítem Burkenroad Interconexión Eléctrica S.A - ISA(Universidad EAFIT, 2021) García Arango, Diana Janeth; Arroyave Gómez, Andrés Felipe; Pareja Vasseur, Julián AlbertoÍtem Buscando alfa en el mercado accionario colombiano: evaluación de la oferta de FIC en el país y la posible influencia de las recomposiciones de índices sobre su selección(Universidad EAFIT, 2017) Aristizábal Castaño, Juan Diego; Mondragón Trujillo, Luis FernandoThis paper aims to assess the indirect impact that specific asset inclusions and exclusions from well followed market indices might cause to Colombian mutual fund’s Alphas -- By computing the Jensen Alpha for 60 Colombian mutual funds it is possible to conclude that a very small share of these investment vehicles performs better than their benchmarks -- Then by directing an event study on the FTSE Russell and MSCI index reviews, some evidence is found about the positive impact on asset’s value that comes with inclusions in the international indices and the negative impact when it comes to exclusions -- No consistent effects are found in the case of the local index -COLCAP- reviews -- Finally, it is possible to show how a mutual fund adjusting allocations based on international index reviews might well improve its alpha