Maestría en Administración Financiera (tesis)
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Publicación Estructuración de las operaciones entre partes relacionadas a partir de una política integral de precios de transferencia aplicada a la empresa Busscar de Colombia SAS y su filial en el exterior(Universidad EAFIT, 2024) Flórez Ortega, Iván Manuel; Vinasco Cano, Sarah; Arias Sánchez, Juan ManuelPublicación Modelo para la estimación de cartera vencida en el portafolio de consumo del sector financiero colombiano(Universidad EAFIT, 2024) Prens Montes, Isamar del Carmen; Durango Gutiérrez, María PatriciaThis research analyzes the dynamics of the consumer portfolio in the Colombian financial sector, based on the way in which the levels of delinquency and macroeconomic circumstances affect this portfolio. The paper collects historical information from financial and regulatory entities, including indicators such as interest rates, inflation, economic development and levels of delinquency, and carries out the corresponding estimates using quantitative methods such as statistical analysis and econometric models, in order to detect correlations and trends. It is expected to propose a methodology that allows a company in the country´s financial consumer sector to timely anticipate the risk to which it is exposed, given the degree of volatility of the macroeconomic environment.Publicación Caso de estudio : internacionalización El Rancherito(Universidad EAFIT, 2024) Mira Mora, Yisell Nallive; Salazar Salazar, Sandra Milena; Pineda Guevara, Andrés Felipe; Waserman Álvarez, Jean PaulThis study case analyzes the international expansion of a Colombian restaurant business into the United States. It will examine in detail the process of opening a new location, considering the key marketing, financial, and operational factors that determine the success or failure of the investment. The study will include an investment valuation and the construction of essential financial indicators for this type of project, providing a deep understanding of the challenges and opportunities Colombian companies face when expanding to new markets, and offering valuable information for future entrepreneurs and companies seeking to grow internationally.Publicación 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 CarlosThe 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.Publicación Gestión del riesgo cambiario en una empresa exportadora colombiana mediante el uso de derivados(Universidad EAFIT, 2024) Montoya Urán, Yenny; Carmona Sánchez, Esteban Giovanni; Cruz Castañeda, VivianThis thesis presents a strategy for managing exchange rate risk in a Colombian exporting company through the application of financial derivatives. The study focuses on a company dedicated to the production of raw materials for food, whose exports in U.S. dollars (USD) currently account for 34% of its sales, with a projected increase to 60%. Using the EGARCH model (Generalized Autoregressive Conditional Heteroskedasticity), the exchange rate between the USD and the Colombian peso (COP) was modeled to evaluate its behavior between 2021 and 2022, enabling a forecast for 2023. This forecast was compared with actual data to assess its accuracy. The results indicated that the EGARCH (1,1) model is the most suitable, achieving a deviation of less than 8% in the final days of comparison. Based on these projections, the necessary coverage amount was determined to mitigate potential impacts on the company’s financial statements and cash flow in 2023. It was concluded that the most appropriate derivative for the company is the Forward contract, and the Value at Risk (VaR) was used to establish the maximum potential loss. This research aims to offer a comprehensive approach to exchange rate risk management, combining financial modeling and the use of derivatives, providing practical tools for informed decision-making in exporting companies.Publicación Relevancia de las criptomonedas como activos financieros dentro de un portafolio diversificado con activos financieros tradicionales utilizando el modelo de Markowitz(Universidad EAFIT, 2024) Herrera Cruz, Andrés Felipe; Cardona Llano, Juan FelipeThis study evaluates the relevance of including cryptocurrencies in diversified portfolios of traditional financial assets using the Markowitz Model. The research investigates whether cryptocurrencies improve portfolio diversification and reduce risk. Historical price data for cryptocurrencies and traditional assets (2018-2024) were analyzed using a quantitative approach, applying efficient frontier simulations in Excel and Python. The results show that while cryptocurrencies exhibit high volatility, their low correlation with traditional assets expands the efficient frontier, increasing expected returns without significantly raising overall portfolio volatility. It concludes that cryptocurrencies are a viable component to enhance diversification, particularly during periods of economic growth, though they require active management to mitigate inherent risks. This provides new insights into modern portfolio theory in dynamic markets.Publicación Metodología para valorar una Fintech : el caso de una startup de arbitraje de criptoactivos(Universidad EAFIT, 2024) Vélez Romero, Luis David; Mosquera Alcázar, Edwin Gildardo; Gaitán Riaño, Sandra ConstanzaÍtem Estrategias de financiamiento para mejorar la estabilidad financiera y la capacidad de crecimiento de LOGTRANS S.A.S.(Universidad EAFIT, 2024) Gutiérrez Restrepo, Alejandro; Sánchez Ribero, Gustavo AlbertoIn the current thesis, financing strategies are identified and developed to improve the financial stability and growth capacity of LOGTRANS S.A.S. The research addresses the problem of limited accessibility to adequate sources of financing, which affects the performance and expansion of the company. To address this problem, historical financial data of LOGTRANS S.A.S, the analysis of financial ratios and how its strategies impact the company in the short and long term will be used. The methodology includes a quantitative approach through financial analysis models. Look for solutions that include a combination of internal and external financing, optimization of the capital structure and the implementation of sustainable financial practices. These solutions have the potential to strengthen the financial stability of LOGTRANS S.A.S. and facilitate its long-term growth.Ítem Predicción de insolvencia empresarial en el sector agropecuario en Colombia(Universidad EAFIT, 2024) Arias Gulfo, Daniela Alejandra; Durango Gutiérrez, María PatriciaAccording to the World Bank, in the period 2020-2022, the agricultural sector in Colombia had a GDP growth of 7.5 to 8.9%. Due to its key contribution to the economy and its impact on job creation and exports, if agricultural companies go bankrupt, there would be a significant negative impact that would affect the livelihood of millions of families, increasing rural poverty and weakening the country´s economic stability. This research aims to analyze the financial information reported by 40 companies in the agricultural sector to Colombia´s Superintendencia de Sociedades in the aforementioned period, in order to predict their insolvency through a multivariate regression statistical model, using variables of financial indicator type such as Current ratio, Debt ratio, Debt to equity ratio, Working capital and Financial leverage ratio; and qualitative variables such as Domicile, IFRS group, Corporate type and time in the market.Publicación Alcatraz : plataforma digital de soporte financiero para pymes colombianas del sector de comercio(Universidad EAFIT, 2024) Escobar González, Juan Camilo; Castro Cataño, Juan Sebastián; Tobón Restrepo, Diego AlexanderA digital platform for financial technical support will be structured for Colombian micro, small, and medium enterprises (MSME) in the commerce sector. This platform will generate financial indicators of value for the company -through calculations using data given from the company- such as the EBITDA margin, ROIC, EVA, internal growth rate and sustainable growth rate, aiming to assist entrepreneurs in making structured decisions. Ultimately, the platform is expected to aid in the accounting formalization of businesses, facilitating access to credit products that promote long-term financial sustainability and inclusion in formal financial products, as well as enhancing their financial management, all delivered by a digital format.Ítem Inversiones en instrumentos financieros sostenibles : un estudio de los beneficios y las oportunidades(Universidad EAFIT, 2024) Pérez González, Juan David; Serna Salazar, Daniela; Correa Lafaurie, Luisa FernandaThis study analyzes the financial performance of green bonds through the YTM S&P Green Bond Select Index USD, evaluating its relationship with key macroeconomic variables and its potential in sustainable portfolios. Using historical data on financial indices and variables such as interest rates, inflation, and volatility, advanced econometric methodologies, including Ridge and GARCH models, were applied to address multicollinearity issues and model volatility. Results highlight a moderate positive correlation between green bonds and macroeconomic variables, with a competitive Sharpe ratio and a favorable position in the efficient frontier. Additionally, the relative stability of green bonds was confirmed, even in volatile contexts. Conclusions emphasize the appeal of these instruments for portfolio diversification and promoting financial sustainability. This work contributes to the sustainable finance literature and offers implications for public policies and investment.Ítem Evaluación del retorno de la inversión y capital requerido para un cultivo orgánico de lechugas en la empresa Biorganic SAS a través de sistemas hidropónicos(Universidad EAFIT, 2024) Manrique Vega, Oscar Mauricio; Zambrano Andrade, Laura Marcela; Gaitán Riaño, Sandra ConstanzaPublicación Modelo fundamental de crecimiento en utilidades y price-to-earnings ratio, P/E, de los índices accionarios internacionales(Universidad EAFIT, 2025) Jiménez Benítez, Daniel; Sandino Perdomo, Daniel; Navarrete Quintero, Nicolás; Diaz, Walter; Durango Gutiérrez, María PatriciaThe S&P500, a barometer of the U.S. economy, is one of the world's leading stock market indices. The price-to-earnings ratio (P/E) is a valuation measure that compares a stock's market price to its earnings per share, and is commonly used to assess whether stocks are overvalued or undervalued. Forecasting the P/E ratio is complex due to factors that can influence the ratio: interest rates, economic growth, market sentiment, and financial projections for companies, among others. In this research, two recurrent neural network models were implemented: LSTM (long short-term memory) and GRU (gated recurrent unit), as well as two machine learning models: XGBoost (extreme gradient boosting) and LigthGBM (light gradient boosting machine), to forecast the P/E ratio of the S&P500 using historical data between January 1990 and October 2024. The results show that all four models perform well, although the GRU model stands out in terms of accuracy and computational efficiency, without leaving aside the LightGBM model, a boosting algorithm, which also shows competitive results. The research offers valuable information on the use of the four models to forecast valuation ratios, and can be useful as support in investment decision making.Publicación Análisis de escisión en una empresa con 3 líneas de negocio en diferentes sectores económicos(Universidad EAFIT, 2024) Aguirre Valencia, Jessica Edith; Carabali Arango, Luis Carlos; Tamara Ayus, Armando LeninÍtem Embargo y secuestro de securities : estrategias jurídicas y financieras para gestionar el riesgo de mercado durante trámites judiciales, arbitrales y administrativos. || Seizure and attachment of securities : legal and financial strategies for managing market risk during judicial, arbitral, and administrative proceedings.(Universidad EAFIT, 2024) García Giraldo, Santiago Alpiniano; Giraldo Arango, MateoÍtem Estrategia de inversión a corto plazo en el mercado de divisas, basada en análisis técnico y fundamental para inversionistas independientes(Universidad EAFIT, 2024) Escobar Henao, Daniel; Correa Lafaurie, Luisa FernandaThis project will focus on the evaluation of short-term investment techniques based on technical and fundamental analysis for operations in the foreign exchange market. The research will address how to combine these techniques to generate profits in an environment of high volatility and liquidity. To do so, historical market data will be used and quantitative methodologies will be implemented to analyze price patterns and economic factors. It is expected to find an effective strategy that maximizes returns and manages risks, providing practical solutions for independent investors seeking to improve their investment decisions in the foreign exchange market.Ítem Determinar la viabilidad financiera de una expansión comercial de Prime Flowers China en el mercado norteamericano(Universidad EAFIT, 2024) Pérez Rendón, David; Valencia Ledesma, Gustavo Adolfo; Correa Lafaurie, Luisa FernandaÍtem Optimización de las políticas de gestión financiera de la Corporación Universitaria Adventista : un análisis comparativo con instituciones educativas similares(Universidad EAFIT, 2024) Villamizar Mercado, Sara Elisa; Baquero Loperena, Mario José; Correa Lafaurie, Luisa FernandaThis study aims to propose a set of optimized financial policies for the Adventist University Corporation (UNAC), based on a comparative analysis with similar educational institutions. The project evaluates the current financial policies, identifying their strengths and weaknesses through key financial indicators. From this evaluation and benchmarking, alternative policies will be developed to improve resource management efficiency and adapt to the changing conditions of the educational environment. Additionally, financial projections will be made to estimate the future impact of the proposed policies, ensuring their medium- and long-term viability. These recommendations seek to ensure that UNAC optimizes its financial management, enhancing its ability to respond to market challenges and strengthening its competitive position in the educational sector.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, VivianThis 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.Publicación Opciones reales secuenciales compuestas como método para valorar proyectos de inversión de varias etapas para empresas farmacéuticas en Colombia(Universidad EAFIT, 2024) Velásquez Pajón, Simón; Lohle García, Carlos Santiago; Pareja Vasseur, Julián Alberto