Examinando por Materia "Portfolio Optimization"

Mostrando 1 - 6 de 6
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    Construcción de un portafolio en el mercado brasileño : un enfoque basado en el modelo de Black-Litterman
    (Universidad EAFIT, 2024) Palacios Racines, Lizeth Carolina; Miller Rengifo, Genner Enrique; Botero Ramírez, Juan Carlos
    The equity market represents a significant trading volume, modeling price formation and offering good investment opportunities in both national and international markets. In this context, and with the aim of developing an investment portfolio in Brazil, this research focuses on constructing a portfolio composed of equity assets using the Black-Litterman (BL) model to evaluate its performance compared to other models such as Markowitz and CAPM. Portfolios with weekly periodicity and a time horizon exceeding 10 years will be modeled to compare the returns of BL and the aforementioned models. The findings indicate that the Markowitz model provides more diversified investment opportunities, while BL is more concentrated but aligns with higher return expectations.
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    Evaluación del efecto de incluir la predicción de rendimientos mediante la técnica de Support Vector Machines en la eficiencia del modelo de media-varianza de Markowitz
    (Universidad EAFIT, 2024) Aristizábal Nieto, Eliana Jiset; García Agudelo, Estefanía; Botero Ramírez, Juan Carlos
    Portfolio investment optimization aims to maximize expected returns given certain levels of risk. This process requires dealing with different variables in a nonlinear, noisy system due to market complexity. This is understood as a system that is affected by different external conditions that may be uncontrollable, where volatility influenced by unpredictable factors is present. In this study, an analysis of the results obtained by integrating machine learning techniques, specifically the set of algorithms called Support Vector Machines (SVM), into classical portfolio construction models is conducted. These algorithms allow for the analysis of large amounts of data and the estimation of asset return time series, resulting in a hybrid optimization model. Historical data from the stock markets of the United States and Colombia are used for numerical experiments; one set of data is used for model training (Training Set) and another for testing (Testing Set). Finally, the efficiency of the model is evaluated comparatively with the mean-variance portfolio selection theory proposed by Markowitz.
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    Optimización de portafolios : un análisis comparativo de estrategias convencionales vs. algoritmos genéticos para los mercados de Estados Unidos y Colombia
    (Universidad EAFIT, 2024) Vélez Bunzl, Juan José; Botero Ramírez, Juan Carlos
    Investment portfolio optimization is an aspect of vital interest for investors; considering there are different methods for achieving this goal, the question arises about which of them allows to obtain the optimal portfolio. The purpose of this thesis is to perform a comparison between different approaches such as Markowitz and inverse variance, among others, with an optimization technique using genetic algorithms. Furthermore, it is intended to analyze the results obtained by these methodologies in a developed market like the United States and in a less developed one like Colombia. To do this, historical data on 10 of the leading stocks from the S&P500 and Colcap indexes were collected, while portfolios were constructed using Matlab and Phyton; with this, it is expected to demonstrate whether the use of artificial intelligence (AI) techniques such as genetic algorithms, can generate portfolios with a better performance than those produced through other methodologies. Also, it is important to assess the influence of the type of market we are dealing with in this outcome.
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    Optimización de portafolios inmobiliarios : una aplicación al mercado colombiano
    (Universidad EAFIT, 2019) Ramírez Arango, Andrés Felipe; Gómez Granados, Pamela Andrea; Yepes Raigosa, David Alejandro
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    A Strategy for a Generator to Participate in the Colombian Electricity Market
    (Universidad EAFIT, 2014-06-24) Salazar Isaza, Harold; Arias Rochem, José David; Universidad Tecnológica de Pereira