Examinando por Materia "Portafolios de inversión"

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    Ítem
    Estructuración de portafolios de inversión de renta variable de acuerdo a la teoría del perfil del riesgo para los años 2017-2020 en Colombia
    (Universidad EAFIT, 2019) Vélez Muñoz, Sebastián; Lopera Palacio, Juan Camilo; Bravo Sepúlveda, Mariana
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    Ítem
    Impacto de los criterios ESG en el desempeño de portafolios : evidencia para el MILA
    (Universidad EAFIT, 2024) Henríquez Fattoni, Carla Cristina; Garcés Cardenas, Juliana; Cruz Castañeda, Vivian
    This study evaluates the performance of investment portfolios with ESG (environmental, social and governance) criteria in the Latin American Integrated Market (MILA), comparing them with portfolios without these criteria. Four ESG portfolios and one portfolio without ESG criteria were built, optimized using the mean-variance model, both with and without weight restrictions. Return predictions were made with historical information from 2021 to 2024 using time series analysis techniques. The results showed that, without weight restrictions, all portfolios had returns below the risk-free rate. However, by restricting the weights to a minimum of 1%, the High ESG and Low ESG portfolios achieved positive returns, with the High ESG standing out with a 1.57% monthly return, higher than the market indices. In addition, the High ESG portfolio presented the best Sharpe and Treynor ratios, indicating higher risk-adjusted profitability. In conclusion, the results support the idea that investments in companies with high ESG scores can generate higher returns without increasing risk, suggesting that responsible investment is more profitable in the Latin American context. This research contributes to the debate on the importance of socially responsible investing in Latin America, providing empirical evidence on the impact of ESG criteria on performance and risk management in investment portfolios.