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Diversificación y valor en riesgo de un portafolio de acciones

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  • Jaime Villamil

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    Abstract

    Desde los años cincuenta la diversificación del portafolio fue planteada por Markowitz (1952 y 1956) como un problema de programación cuadrática, a la vez que fue introducida la desviación estándar como medida de riesgo. Con el paso del tiempo se han propuesto algoritmos de solución más eficientes, así como metodologías más complejas de medición de riesgo de los portafolios. En este artículo se describe el método del conjunto activo como solución del problema de programación, se revisa el enfoque de medición de riesgos VeR (valor en riesgo) y se presenta una aplicación al mercado de valores colombiano.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/47/v26n47_villamil_2007.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2007)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:004538

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