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Gestión Activa de portafolios mediante la aplicación del modelo de Treynor-Black

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  • Alejandro Vargas Sánchez

    ()
    (Universidad Privada Boliviana)

Abstract

En el presente documento se expone la teoría de gestión activa de portafolios a través de la aplicación del modelo de Treynor Black. El objetivo principal es mostrar el impacto positivo que una gestión activa de portafolios puede tener en términos de rendimiento y riesgo, permitiendo de esta manera desplazar positivamente la función de utilidad de un inversionista adverso al riesgo; estos beneficios se pueden alcanzar a partir de la incorporación de títulos valores con rendimientos anormales cuyos precios de mercado son diferentes a sus valores de equilibrio. Los resultados alcanzados permiten corroborar esta situación, aunque también se pone de manifiesto que cuando los rendimientos anormales son muy elevados, puede dar como consecuencia que el portafolio de activos riesgosos se concentre excesivamente en aquellos títulos con rendimientos anormales generando mayor exposición a los riesgos no sistemáticos.

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File URL: http://www.upb.edu/RePEc/iad/wpaper/0212.pdf
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Bibliographic Info

Paper provided by Universidad Privada Boliviana in its series Investigación & Desarrollo with number 0212.

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Length: 15 pages
Date of creation: Jan 2012
Date of revision: Jan 2012
Publication status: Published in Investigación & Desarrollo, January 2012, pages 72-87
Handle: RePEc:iad:wpaper:0212

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Web page: http://www.upb.edu/node/235
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Related research

Keywords: Gestión Activa de Portafolios; Modelo de Treynor Black; Rendimientos anormales; Función de Utilidad; Rendimiento y Riesgo;

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  1. repec:cup:cbooks:9780521694681 is not listed on IDEAS
  2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  4. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
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