Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market [Utilización del criterio Kelly para optimizar la rentabilidad de un portafolio en el mercado accionario Colombiano]
The main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed val...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2018
- Institución:
- Universidad de Medellín
- Repositorio:
- Repositorio UDEM
- Idioma:
- spa
- OAI Identifier:
- oai:repository.udem.edu.co:11407/4533
- Acceso en línea:
- http://hdl.handle.net/11407/4533
- Palabra clave:
- BVC; Kelly Criterion; Portfolio Selection
- Rights
- License
- http://purl.org/coar/access_right/c_16ec