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Optimización de Portafolios con Capital en Riesgo Acotado

Author

Listed:
  • Hugo Eduardo Ramirez J.

    (Politécnico Grancolombiano Institución Universitaria, Departamento de Matemáticas)

  • Liliana Blanco Castañeda

    (Universidad Nacional de Colombia, Departamento de Estadística)

Abstract

En años recientes se ha introducido en el mercado el Capital en Riesgo o CaR, por sus siglas en inglés, como medida de riesgo en reemplazo de la varianza en los problemas de selección de portafolios óptimos. En este trabajo se hizo un estudio, usando la metodología clásica de control estocástico, acerca de las consecuencias de introducir la medida de CaR en un modelo de mercado Black - Scholes simple y en un modelo de mercado de Difusión Inverso Generalizado. Se confrontaron los resultados teóricos con datos reales tomados de la Bolsa de Valores de Colombia, para el caso de Ecopetrol e Isa.

Suggested Citation

  • Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012. "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 7(2), pages 211-231, Julio-Dic.
    • Handle: RePEc:imx:journl:v:7:y:2012:i:2:p:211-231
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    File URL: http://www.remef.org.mx/index.php/remef/article/view/36/59
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    More about this item

    Keywords

    Modelo Black-Scholes; Calculo de Ito; Optimización de portafolios; Riesgo de capital; Modelo generalizado Gaussiano; Modelo Cox.Ingerson Ross; Media-Car;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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