Examinando por Materia "EFFICIENT FRONTIER"

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    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.
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    PublicaciónAcceso 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.
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    PublicaciónAcceso 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.