Agrega valor el modelo Black-Litterman en portafo- lios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016

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dc.contributor.authorLuna-Ramírez, Susana
dc.contributor.authorArango, Diego A.
dc.contributor.eafitauthorslunara@eafit.edu.co
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.accessioned2018-11-10T19:01:11Z
dc.date.available2018-11-10T19:01:11Z
dc.date.issued2018-11
dc.description.abstractThe Black-Litterman model (BL) has been offered as an alternative to the classical Markowitz Mean-Variance framework, to structure well-diversified portfolios that incorporate visions from fundamental analysts. We apply this model to stock portfolios in the countries of the Mercado Integrado Latinoamericano (MILA): Colombia, Chile, Mexico and Peru, starting from the constituents of the main stock market indexes. As perspectives, we use the historical analyst ́s recommendations in Bloomberg for the period 2008-2016. We find that portfolios created with BL outperform the main index, both in average return and in alpha, in each of the four countries. Moreover, a regional BL portfolio that combines the four BL country portfolios, outperforms a regional Benchmark, measured in dollars, in each one of three alternatives of Us dollar hedge.eng
dc.identifier.jelG11
dc.identifier.jelG23
dc.identifier.jel62P05
dc.identifier.jel91G10
dc.identifier.jel97M30
dc.identifier.urihttp://hdl.handle.net/10784/13125
dc.language.isospaeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordPortfolio active managementspa
dc.subject.keywordBlack-Litterman Modelspa
dc.subject.keywordMILAspa
dc.subject.keyworddiversificationspa
dc.subject.keywordFund performance evaluationspa
dc.subject.keywordportfolio fixed-income hedgespa
dc.titleAgrega valor el modelo Black-Litterman en portafo- lios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016spa
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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