Maestría en Administración Financiera (tesis)

URI permanente para esta colección

https://hdl.handle.net/10784/92

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Mostrando 1 - 20 de 1131

Relación entre la cobertura con derivados de divisas, volatilidad cambiaria y políticas de intervención del Banco Central : un análisis empírico
(Universidad EAFIT, 2025) Aza Goyes, Manuel Alejandro; Rojas Ormaza, Brayan Ricardo
Análisis de tendencias en la investigación mundial sobre finanzas verdes
(Universidad EAFIT, 2025) Hoyos Llanos, Oscar Hernán; Duque Hurtado, Pedro Luis
Análisis comparativo de la gestión activa vs pasiva de un portafolio accionario en el mercado de valores colombiano : acercamiento por medio de Markowitz
(Universidad EAFIT, 2025) Álvarez Antía, Jerónimo; Ángel Correa, Andrés; Mejía Jaramillo. Alejandro
This study seeks to compare the performance of active and passive portfolio management strategies within the Colombian equity market. The research specifically investigates whether passive management, replicated through the iShares MSCI COLCAP ETF, is able to match or exceed the outcomes of an active strategy implemented using the Markowitz optimization model. To this end, historical daily price data for the constituent stocks of the COLCAP index were analyzed over a five-year period. A quantitative and exploratory methodology was employed, incorporating backtesting simulations with semiannual portfolio rebalancing, and evaluating performance and risk metrics such as volatility, Sharpe ratio, and Sortino ratio. The findings indicate that, in the Colombian market, the additional risks associated with attempting to outperform the index are not compensated by a sufficiently attractive expected alpha. Consequently, within the context of an emerging economy, passive management emerges, in general terms, as the most appropriate alternative for retail investors.
Sobre tasa al impuesto de renta : un golpe a la rentabilidad del sector financiero
(Universidad EAFIT, 2025) Vallejo Ramos, Oswaldo José; Medina Arango, Oscar Eduardo
The financial system is the backbone of any country's economy, enabling the efficient flow of resources between savers and investors, which in turn drives economic development and financial stability. In Colombia, this sector has faced significant pressure in recent years due to changes in fiscal policies, particularly the implementation of an income tax surcharge. While introduced as a tool to increase revenue and fund essential projects, this measure has raised concerns about its potential repercussions on profitability and competitiveness. The income tax surcharge, in effect since 2018, aims to increase the contribution of highly profitable sectors to the collective well-being. However, this additional tax burden has raised questions about its impact on profit margins, the attraction of foreign investment, and credit stability within a key sector like finance. In this context, this research project seeks to evaluate the quantitative effects of the surcharge on Colombian financial entities during the 2018-2024 period, encompassing a comprehensive analysis to identify trends and strategies. This research aims to provide a comprehensive assessment of the income tax surcharge's effects on the Colombian financial sector. It will foster a deeper understanding of how fiscal policies can influence the performance of a strategic sector and propose solutions aimed at balancing state revenue collection with the sector's sustainability.
Análisis de generación de valor económico y riesgo de insolvencia financiera mediante los modelos EVA y Z-Score : estudio aplicado a una empresa agroindustrial del Valle del Cauca
(Universidad EAFIT, 2025) Moreno Camargo, Deiber Alexander; Tamara Ayus, Armando Lenin
This research analyzes the ability of an agro-industrial company located in Valle del Cauca, Colombia, to create economic value while managing the risk of financial insolvency. Two complementary models were applied: Economic Value Added (EVA) to determine whether the company generates returns above its cost of capital, and Altman's Z-Score to assess the likelihood of bankruptcy using key financial ratios. The analysis covers historical financial statements and projections from 2019 to 2029. Findings indicate consistent value creation throughout the period, although the Z-Score remains within the gray zone, suggesting a moderate but persistent financial risk. Based on the results, strategic recommendations are made to reinforce the company’s financial structure and reduce exposure to insolvency.
Nuevos instrumentos de financiación para la construcción de vivienda y otros destinos
(Universidad EAFIT, 2025) Figueredo Salinas, Nicolás; Hernández Taba, Carlos Mario; Lotero Pérez, Julián; Durango Gutiérrez, María Patricia
This paper examines the urgent need to diversify funding sources for housing projects in Colombia, given the growing housing deficit and the sustained increase in households living under rental conditions. In a context where over 40% of households are renters and builder’s credit remains the dominant financing mechanism, the need to explore alternative financial schemes that reflect evolving dynamics in the real estate market becomes increasingly evident. Drawing on regulatory, sectoral, and financial analyses, the study identifies and evaluates instruments such as private equity, private debt, leasing, crowdfunding, public-private partnerships (PPPs), collective investment trusts, and the tokenization of real estate assets. It also highlights the Build-to-Rent (BtR) model as a viable strategy for expanding the supply of long-term rental housing particularly for middle-income segments. Finally, the paper proposes a roadmap with specific recommendations for Camacol, aimed at fostering strategic alliances, advocating feasible regulatory reforms through the guild’s channels, and consolidating pilot projects that demonstrate how these alternative mechanisms can serve as sustainable drivers of housing development.
Comparación de la eficiencia de portafolios : un análisis entre la teoría de Markowitz y un modelo basado en Random Forest
(Universidad EAFIT, 2025) Vargas Galvis, Estefanía; Botero Ramírez, Juan Carlos
This study compares the efficiency of investment portfolio construction using two approaches: the classic Markowitz Theory and a model based on Random Forest. Thus, it can be said that while Markowitz optimizes the portfolio under parametric and linear assumptions, Random Forest leverages the ability to capture nonlinear and dynamic patterns in complex financial data, especially in volatile markets. The research is based on real data from the 30 most liquid stocks in the S&P 500, between 2020 and 2024, evaluating the performance of both models through key metrics such as the Sharpe Ratio, variance, and return predictive capacity in January 2025. The results obtained will demonstrate whether the Random Forest model can match or exceed Markowitz's efficiency in the risk-return relationship, offering an adaptive and robust alternative for portfolio management in current financial environments.
Evaluación de modelos Z-score para predecir la insolvencia en el contexto empresarial colombiano : análisis y propuesta aplicativa
(Universidad EAFIT, 2025) Ibarbo Marín, Juliana; Moreno Valencia, Marco Andrés; Baldoquín de la Peña, Maria Gulnara
Estrategia de cobertura con forward para la exportación de aguacate Hass
(Universidad EAFIT, 2025) Calderón Perdomo, María Alejandra; Sánchez Holguín, Nathalia; Manco López, Oscar Oswaldo
In this research work, a hedging strategy is developed for companies dedicated to the export of Hass avocado to markets that can be volatile and unpredictable, as is currently the case with the U.S. market as a result of the trade policies with which Donald Trump's second term in office began. In this sense, the proposed financial hedging strategy is based on the instrument of forward contracts to reduce the risk of price fluctuations and maximize profits for Hass avocado exporting companies. In order to evaluate the effectiveness of this strategy, three export scenarios were analyzed: one with full hedging (100% to 60 days), one with partial hedging (70% to 90 days) and one without hedging (0% to 120 days), which consider exchange rate speculations in situations of currency depreciation and appreciation.
Modelo de clasificación de insolvencia en Entidades Prestadoras de Salud (EPS) mediante redes neuronales
(Universidad EAFIT, 2025) Muñoz Calderón, Cindy Lorena; Silva Castro, Jaime Andrés; Támara Ayús, Armando Lenin
Health Provider Entities (EPS) are the institutions responsible for managing the resources of Colombia’s healthcare system, thereby ensuring the provision of basic health services. This research aims to develop an insolvency classification model for EPS using the statistical technique of neural networks. The database comprises 51 EPS registered in the EMIS University database, providing financial variables to the model, complemented by non-financial variables (location and age). Four classification models are built and compared using Altman’s Z-Score model as a reference. Among them, the decision tree model stands out for its accuracy in predicting financial insolvency. Additionally, the constructed models identify the variables with the greatest impact on default risk, including ROE, net profit/loss, and current ratio, which significantly influence insolvency risk.
Construcción de un modelo de transporte óptimo del cobre para la empresa minera Zijin-Continental Gold Ltd. Evaluación de costos y riesgos
(Universidad EAFIT, 2025) Restrepo David, Faide Lidey; Orozco Echeverry, César Augusto
Desarrollo de una política de gestión del riesgo cambiario : caso aplicado a una organización importadora colombiana
(Universidad EAFIT, 2025) Salazar Bautista, Iván Esteban; Alonso Villamil, Fernando
Cosalco Colombia S.A.S. imports raw materials and equipment for distribution in the domestic flexographic industry. Generating obligations with third parties in foreign currency and a direct exposure to foreign exchange risk. This field work developed a Foreign Exchange Risk Management Policy in three stages: (1) identification and measurement of transaction, conversion and economic risks, through tools such as Net Flow Exposed, Net Position and Scenario Analysis; (2) definition of the foreign exchange policy, establishing objectives, indicators, exposure levels and hedging instruments, supported by a survey applied to the financial team; and (3) configuration of a governance structure for its implementation. As a result, a short position for the analyzed risk subcategories was evidenced and a conservative approach based on forward contracts was proposed. It was concluded that the policy designed responds to the needs of the organization and represents an alternative to mitigate foreign exchange risk.
Medición de riesgos en el costo para toma de decisiones, una aplicación de Cost At Risk (CAR) en una empresa manufacturera de insumos para construcción
(Universidad EAFIT, 2025) Aguirre Rendón, Víctor Hugo; Cruz Castañeda, Vivian
Impacto sobre el costo de capital de las empresas del sector repuestos para motos en el eje cafetero, frente a la formalización de persona natural a sociedad por acciones simplificada S.A.S.
(Universidad EAFIT, 2025) Angulo Betancurt, Stiven; Avalo Mazo, Juan Carlos; Cardona Llano, Juan Felipe
The cost of capital represents the profitability demanded by investors when financing business assets through debt or equity. This research analyzed the impact of the formalization from natural person to Simplified Joint Stock Company (S.A.S.) on the cost of capital in three leading companies of the motorcycle parts sector in the Eje Cafetero in Colombia. Information from the Financial Information and Analysis System (SIIS) of the Superintendence of Corporations was used, simulating their performance under the figure of natural person. Additionally, a financial model was applied to estimate the cost of capital in both regimes. The results indicate that formalization as an S.A.S. affects the cost of capital, conditioned by factors such as the profit before taxes (UAI), the tax burden and the tax shield. It is concluded that there is a relevant impact, although its analysis requires careful consideration of the variables involved and the quality of the data in emerging contexts.
Evaluación del impacto normativo en la gestión de liquidez en empresas de economía mixta
(Universidad EAFIT, 2025) Ortiz Morales, Alejandro; Alzate Arias, Hernán Alonso
Impacto de la reforma tributaria 2277 del año 2022 en la valoración financiera de Operlog S.A.S como empresa transportadora de Colombia
(Universidad EAFIT, 2022) Ruiz Arenas, Daniel Steven; Duque Arboleda, Jonathan
The tax reform approved in Colombia in 2022 (Law 2277) introduced substantial changes in the country's tax structure, directly impacting the profitability of companies, particularly those in sectors with high operating costs, such as cargo transportation. The main objective of this paper is to evaluate the impact of this reform on the financial valuation of Operlog S.A.S., a Colombian company specialized in logistics and transportation of pharmaceutical products, using the discounted cash flow (DCF) model. The analysis is based on the company's financial statements between 2019 and 2023, evaluating the effect of the reform on key indicators such as EBITDA, net income, operating margin, free cash flow (FCF) and return on invested capital (ROIC). The study also includes the calculation of the weighted average cost of capital (WACC) and terminal value, as well as a sensitivity analysis to examine various fiscal scenarios. In addition, a qualitative approach is incorporated through semi-structured interviews with company executives, which provides insight into their perceptions and tax adaptation strategies. The research results provide a comprehensive view of how tax reforms affect companies' ability to generate value and make strategic decisions. They also provide valuable guidance for internal policymaking in uncertain tax contexts.
Competitividad financiera de las mipymes en Colombia en relación con sus formas de financiamiento
(Universidad EAFIT, 2025) Herrera González, Nestor Alberto; Camero Ramos, Hoffman Fernando; Arenas Gómez, Camilo José
Diseño de un modelo de scoring de crédito para evaluar el riesgo de impago de la cartera de créditos de la plataforma de financiación cooperativa a2censo (Bolsa de Valores de Colombia, BVC)
(Universidad EAFIT, 2025) Chaljub Buelvas, Elkin Guillermo; Vásquez Martínez, Nataly; Rojas Ormaza, Brayan Ricardo
Evaluación de modelo de flujo de caja en riesgo (CEFaR) para estimar riesgos financieros en la construcción y operación de un restaurante en altamar
(Universidad EAFIT, 2025) Ramírez Candado, Judy Lissette; Parra Chamorro, Natalia Alejandra; Támara Ayús, Armando Lenin
Efecto de los indicadores ASG sobre el costo de la deuda de las empresas de energía en los Estados Unidos
(Universidad EAFIT, 2025) Murillo Hernández, Miguel Ángel; Rodríguez Rodríguez, José Yesid; Yepes Raigosa, David Alejandro
This study examines the relationship between environmental, social, and governance (ESG) indicators and the cost of debt in U.S. energy sector companies. Using a panel data model covering 63 firms between 2009 and 2023, several models were estimated with different combinations of aggregated ESG score and its disaggregated components. The results show that the composite ESG score is not statistically significant. However, when disaggregated, the social and governance components are negatively associated with the cost of debt, indicating a reduction in borrowing costs. In contrast, the environmental component exhibits a positive and significant relationship, potentially reflecting perceived financial risk. The findings suggest that ESG factors should be evaluated independently to understand their impact on corporate financing decisions better.

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