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Breves consideraciones acerca de la importancia de los árboles de decisión en el análisis de carteras

Author

Listed:
  • Riascos, Julio César
  • Munoz, Jesus Enrique Molina

Abstract

La cada vez más estrecha relación entre las ciencias y/o disciplinas no es ajena a la relación derivada en los últimos 50 anos entre las nanzas, la Econometría, la modelación estadística y los procesos de simulación computacional. El propósito de este artículo introductorio reside en exponer algunas breves consideraciones con respecto al potencial manejo de los árboles de decisión en la teoría nanciera y particularmente como complemento al diseno de los tradicionales árboles de rentabilidad. El documento sugiere que la importancia atribuida a los árboles de rentabilidad así como el modelamiento de carteras propios de la teoría financiera debe ser complementada y avanzada por herramientas de simulación cuya aplicación posibilita anticipar situaciones futuras y elaborar políticas ex-ante. De acuerdo con lo anterior, se refuerzan los análisis de un portafolio de inversión a través de árboles de decisión bajo tres escenarios que comprenden diferentes combinaciones de riesgo y rentabilidad. Mediante este ejercicio no complejo, se concluye que las rentabilidades de una cartera de inversión asociadas a los escenarios planteados arrojan resultados diversos que dependen de la probabilidad estadística de ganar o de perder.

Suggested Citation

  • Riascos, Julio César & Munoz, Jesus Enrique Molina, 2016. "Breves consideraciones acerca de la importancia de los árboles de decisión en el análisis de carteras," Revista Tendencias, Universidad de Narino, vol. 17(1), pages 11-33, January.
    • Handle: RePEc:col:000520:018789
    DOI: 10.22267/rtend.161701.11
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    References listed on IDEAS

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    1. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    2. Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January.
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    More about this item

    Keywords

    Árboles de decisión financiera; Árboles de rentabilidad; Decisiones de Inversión; Carteras de Inversión;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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