Examinando por Materia "FRONTERA EFICIENTE"
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Publicación Acceso abierto Estructuración de portafolios de acciones en el mercado de valores de España(2014-05-13) Mesa-López, M. (Miriam); Colorado-González, J. A. (José Adolfo)This paper uses the portfolio’s modern theory developed by Harry Markowitz in 1952 to find an optimal portfolio that beats the benchmark in the Spanish market. The portfolio selected includes the application of the CAPM model for capital asset pricing. The result is a market’s portfolio with a better yield than that of benchmark and minimum risk levels in the international context.Publicación Acceso abierto Estructuración de portafolios de acciones en el mercado de valores de Londres(2014-05-13) Correa-Echeverri, A. M. (Ana Milena); Arroyave-Giraldo, A. R. (Adrian Ricardo)The capital markets offer different alternatives for investments, where each asset has a level of given risk. One of the investment alternatives is the stock market. London Stock Exchange in England is a world leader in the creation and management of equity, with the characteristic of being the oldest in the world; its index is FTSE (Financial Times Stock Exchange). This paper propouses the development of an optimization model in Excel that allows finding optimal portfolios using Markowitz theory and the concept of market capital line employing assets of London Stock Exchange. Based on this methodology, we pretend to find an optimal portfolio made up of stocks that are part of the FTSE 100. At the same time this papers pretends to give tools to any investor interested in taking part in London stock exchange market.Publicación Acceso abierto Estructuración de portafolios que incluyen opciones(2014-05-13) Solano-Atehortúa, J. A. (José Antonio)The main goal of this paper is to formulate portfolio selection problems in terms of quadratic optimization problems. For the mean-variance optimal portfolio selection problem we consider that the expected returns of the European-style options, risky and risk-free assets as well as the covariance matrix of the risky assets are exactly known. In the course of the presentation, the covariance matrix can be seen as a numerical approximation of an improper integral, so that some of the powerful numerical packages nowadays available for this class of problems can be used.Publicación Acceso abierto Estructuración de un portafolio óptimo de inversión en divisas representativas del mercado Forex(2014-05-13) Carbonell-Aldana, B. E. (Beatriz Eugenia); Echavarria-Elejalde, L. F. (Luis Felipe)Foreign currency market offers a wide array of options, where each currency shows different return and risk levels. The present paper proposes the application of an optimization model using Excel, by which efficient portfolios are obtained, based on Markowitz’s theory. The efficient frontier may be constructed from the application of the mentioned model. Important information needed by the structurer, in order to make decisions on the assets selection for a new portfolio, may be obtained as well. By simulating portfolios made of different assets, it is possible to find the optimal mix that allows for achieving higher returns and lower risk than that of the market, or those which satisfy the investor’s expected return and risk levels. The result of applying the model to this particular case presents a portfolio made of six different currencies: Euro, Pound Sterling, Brazilian Real, Colombian Peso, Swiss Franc and Chilean Peso. This mixture manages to outperform both the return level of the benchmark and the risk-free rate (American Treasury Bonds), as well as their risk levels, resulting in an annual return of 8,6%, and a 6,33% risk level.