Revista Soluciones de Posgrado

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https://repository.eia.edu.co/handle/11190/54

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Examinando Revista Soluciones de Posgrado por Materia "ACCIÓN ( FINANZAS )"

Mostrando 1 - 5 de 5
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    Aplicación de los modelos Garch a la estimacion del VaR de acciones colombianas
    (2014-05-13) Ospina-D’Aleman, F. (Federico); Giraldo-Sánchez, D. A. (David Alejandro)
    The increased volatility in financial markets over recent decades has led researchers, experts, and regulators to design and develop more sophisticated risk management tools. Value at Risk (VaR) has become the standard measure that financial analysts use to measure market risk due to its conceptual simplicity and easy interpretation. In this paper, Value at Risk (VaR) was applied to the returns of the biggest marketability shares of the Colombian stock market and it was calculated by the parametric method with the RiskMetrics approach and the econometric GARCH models. Under the RiskMetrics approach the variance of the series is computed using an IGARCH (1.1) model. For the calculation of VaR with econometric GARCH models, ARIMA methodology is applied to find the model that will help to forecast the returns of the series, this returns does not generally have a constant variance, showing the existence of Heteroscedasticity and should be used generalized autoregressive conditional heteroscedasticity models (GARCH), such as PGARCH, TGARCH, EGARCH, and other models as IGARCH, GARCH-M to find the conditional variance.
  • Miniatura
    PublicaciónAcceso abierto
    Estructuración de portafolios de acciones en el mercado de valores de Hong Kong
    (2014-05-13) Ramírez-Córdoba, G. L. (Gloria Lucia); Fernández-Echeverri, C. P. (Claudia Patricia)
    This paper presents the results of an exploratory research conducted with the objective of structuring a portfolio of shares in the Hong Kong stock market. For the construction of the optimal portfolio was applied Modern Portfolio Theory, first to 20 stock indexes worldwide and then to 27 shares selected from Hang Seng Index (HSI) of the Hong Kong stock market, in both cases with a database built with the value of the indexes and stock prices in the period January 2002 - August 2007. With the analysis of the indexes, it was determined that the index of Hong Kong is not part of the portfolio market, but this is not enough reason for not investing in that market, given that in the analysis of the environment was found that Hong Kong is a region of international significance, with a growing economy and leading companies globally. The diversification exercise conducted with the selected actions from index HSI allowed to structure portfolios that maximize return for different risk levels and determine an efficient frontier that, in addition to being well above the HSI, is dominant compared to the efficient frontier shaped with the stock indices of the countries surveyed.
  • Miniatura
    PublicaciónAcceso abierto
    Estructuración de portafolios de acciones en el mercado de valores de Londres
    (2014-05-13) Correa-Echeverri, A. M. (Ana Milena); Arroyave-Giraldo, A. R. (Adrian Ricardo)
    The capital markets offer different alternatives for investments, where each asset has a level of given risk. One of the investment alternatives is the stock market. London Stock Exchange in England is a world leader in the creation and management of equity, with the characteristic of being the oldest in the world; its index is FTSE (Financial Times Stock Exchange). This paper propouses the development of an optimization model in Excel that allows finding optimal portfolios using Markowitz theory and the concept of market capital line employing assets of London Stock Exchange. Based on this methodology, we pretend to find an optimal portfolio made up of stocks that are part of the FTSE 100. At the same time this papers pretends to give tools to any investor interested in taking part in London stock exchange market.
  • Miniatura
    PublicaciónAcceso abierto
    Estructuración de un portafolio de inversión en commodities agrícolas y metales
    (2014-05-13) Ramírez-Flórez, C. (Catalina); RodrÍguez-Gallego, J. A. (Jenny Andrea)
    The world economy presents as alternatives of investment a great variety of interesting products before the eyes of the investors in terms of return vs. risk. Investor seeks to make decisions on the selection of the optimal mixture of assets that justifies his investment, maximizing profits, and managing risk in an efficient way. Commodities, during the last years, have become one of the alternatives, because they allow portfolio diversification with the inclusion of assets that promise future attractive profitability under low risk, and that are not easily replicable using other alternatives. This is consequence, among other reasons, of the market globalization and the strong rise in demand of the mentioned basic products.
  • Miniatura
    PublicaciónAcceso abierto
    Portafolio de inversión en exchange traded funds (ETF ) de índices accionarios de mercados globales
    (2014-05-13) Gómez-Galindo, D. P. (Diana Patricia); Mesa-Mariscal, J. A. (Jorge Andrés)
    Exchange Traded Funds (ETFs) are investment funds traded the same way as stocks on different financial markets worldwide. ETFs are mostly traded on AMEX (American Stock Exchange), and most of them are designed to track a specific market index. Estimating an aggressive-moderated portfolio, by mixing ETFs that follow different stock markets around the world and using H. Markowitz Portfolio Selection Theory, provided outstanding results when comparing its performance to benchmark MCSI AC World Index. Performance was evaluated in terms of return and risk using the following indices: Sharpe, Jensen’s alpha, tracking error, Treynor and information coefficient.