Examinando por Materia "Sharpe ratio"

Mostrando 1 - 4 de 4
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    Ítem
    ¿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 Constanza
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    Ítem
    Aproximacion a la teoria del VAR en un portafolio no cotizado en bolsa
    (Universidad EAFIT, 2023) Díaz Gómez, Diego Fernando; Rojas Ormaza, Brayan Ricardo
    This 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.
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    Ítem
    Inversión ASG frente a inversión tradicional en Colombia. Un asunto de eficiencia
    (Universidad EAFIT, 2024) Ochoa Jiménez, Isaac; Restrepo Ochoa , Diana Constanza
    Although investing under environmental, social and governance (ESG) criteria has recently gained interest, the academic literature still does not allow to conclude whether acting in accordance with such criteria partially sacrifices the pecuniary benefit or efficiency sought in the traditional investment. This research analyzes whether investment that incorporates ESG criteria presents differences with respect to traditional investment, by comparing its risk-return relationship in the Colombian stock market in the period 2015-2022. To do this, two indices were built under ESG criteria, and their performance was compared with the MCSI Colcap index, where the latter, as the general index of the Colombian stock market, represents traditional investment. The results of the study reflect that, when studying the entire samples based on the Sharpe ratio, ESG investment was more efficient than traditional investment. However, during the pandemic period, the latter performed better. The explanation of why these results were presented for ESG investment will give rise to other studies on the subject.
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    Ítem
    Selección de portafolio y asignación óptima de capital para fondos de inversión colectiva en Colombia por perfil de riesgo de inversionista
    (Universidad EAFIT, 2022) Arrieta Bula, Eyis Lorena; Casas Bello, Edna Rocio; Botero Ramírez, Juan Carlos
    This work will develop an optimal portfolio selection exercise composed of Colombian Collective Investment Funds, according to the risk profile of investors, based on the portfolio theory of Markowitz (1952). The results are to offer an investment alternative different from the traditional savings products currently available in the Colombian financial system, in accordance with the objective, time horizon and risk profile of the investor. The optimal combination of FICs for each risk profile is obtained by choosing the combination of FICs that has the maximum value of the Sharpe ratio (1964) when the efficient frontier is divided into three segments, one for each risk profile considered.