Examinando por Materia "PORTAFOLIO DE INVERSIONES - EVALUACIÓN"

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    Comparación de la eficiencia de portafolios : un análisis entre la teoría de Markowitz y un modelo basado en Random Forest
    (Universidad EAFIT, 2025) Vargas Galvis, Estefanía; Botero Ramírez, Juan Carlos
    This study compares the efficiency of investment portfolio construction using two approaches: the classic Markowitz Theory and a model based on Random Forest. Thus, it can be said that while Markowitz optimizes the portfolio under parametric and linear assumptions, Random Forest leverages the ability to capture nonlinear and dynamic patterns in complex financial data, especially in volatile markets. The research is based on real data from the 30 most liquid stocks in the S&P 500, between 2020 and 2024, evaluating the performance of both models through key metrics such as the Sharpe Ratio, variance, and return predictive capacity in January 2025. The results obtained will demonstrate whether the Random Forest model can match or exceed Markowitz's efficiency in the risk-return relationship, offering an adaptive and robust alternative for portfolio management in current financial environments.