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Diversificación y valor en riesgo de un portafolio de acciones

Author

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  • Jaime Villamil

    ()

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.

Suggested Citation

  • Jaime Villamil, 2007. "Diversificación y valor en riesgo de un portafolio de acciones," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
  • Handle: RePEc:col:000093:004538
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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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    More about this item

    Keywords

    programación convexa; selección de portafolio; VeR.;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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