Examinando por Materia "BENCHMARK"

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  • Miniatura
    PublicaciónAcceso abierto
    Estructuración de un portafolio de inversión en commodities agrícolas y metales
    (2014-05-13) Ramírez-Flórez, C. (Catalina); RodrÍguez-Gallego, J. A. (Jenny Andrea)
    The world economy presents as alternatives of investment a great variety of interesting products before the eyes of the investors in terms of return vs. risk. Investor seeks to make decisions on the selection of the optimal mixture of assets that justifies his investment, maximizing profits, and managing risk in an efficient way. Commodities, during the last years, have become one of the alternatives, because they allow portfolio diversification with the inclusion of assets that promise future attractive profitability under low risk, and that are not easily replicable using other alternatives. This is consequence, among other reasons, of the market globalization and the strong rise in demand of the mentioned basic products.
  • Miniatura
    PublicaciónAcceso 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.