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Diseno de estrategias óptimas para la selección de portafolios, un análisis de la ponderación inversa al riesgo (PIR)

Author

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  • Puerta Molina, Andrés Felipe
  • Laniado Rojas, Henry

Abstract

Resumen: El objetivo del artículo es determinar el comportamiento de la estrategia de selección de portafolios que asigna una ponderación a cada activo inversamente proporcional al riesgo individual del mismo (PIR) y compararla con las estrategias clásicas de mediavarianza (M-V), mínima varianza (MINVAR) y estrategia equiponderada (1/N). Para ello se realizan estimaciones out of sample y se dan condiciones bajo las cuales la PIR conduce a ponderaciones menos riesgosas que la estrategia 1/N para el mercado de valores de Colombia. Como conclusión, se encuentra evidencia del mejor desempeno de la PIR con respecto a las estrategias clásicas en términos de los indicadores de rentabilidad, riesgo, ratio de Sharpe, Turnover (costos) y Turnover (estabilidad).

Suggested Citation

  • Puerta Molina, Andrés Felipe & Laniado Rojas, Henry, 2011. "Diseno de estrategias óptimas para la selección de portafolios, un análisis de la ponderación inversa al riesgo (PIR)," Revista Lecturas de Economía, Universidad de Antioquia, CIE, February.
    • Handle: RePEc:col:000174:008062
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    More about this item

    Keywords

    Portafolios de inversión; títulos; rentabilidad; riesgo; Ponderación inversa al riesgo;
    All these keywords.

    JEL classification:

    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • R52 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Land Use and Other Regulations

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