Examinando por Materia "Portafolio óptimo"
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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 ¿Ofrecen los criptoactivos beneficios de diversificación y eficiencia aplicando el modelo de Markowitz en un contexto de portafolios multiactivos?(Universidad EAFIT, 2022) González Díez, Luis Alejandro; Cardona Llano, Juan FelipeThe purpose of this research is to analyze whether crypto-assets offer diversification and efficiency benefits in terms of risk/return in multi-asset portfolios, with the incentive that so far no studies similar to the one proposed have been found. Statistical methods are used for this and, subsequently, based on Markowitz's modern portfolio theory, which allows the construction of an optimal portfolio given a level of risk, three portfolios with different risk profiles are constructed: conservative, moderate and high risk. Optimizations are performed with indices representing each asset class, namely: MSCI Colcap Index (Colcap), COLTES Index (CTES), Bloomberg Commodity Index (BCOM) y Bloomberg Galaxy Crypto Index (BGCI). Finally, the performance of the different optimized portfolios is analyzed against a benchmark that does not include crypto-assets.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 OcarisMutual 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%.