Diseño y evaluación retrospectiva de una estrategia de inversión en el mercado bursátil colombiano mediante la maximización del ratio de Sharpe

This current article represents the briefing of the results obtained by applying a optimization model developed through the use of Sharpe’s Ratio, which through a retrospective analysis simulates an investment strategy taking into account historic data of the Colombian Stock Exchange Market. From its application, annual recommended portfolios are obtained, then they are compared with the real Colombia Stock Exchange Market values (IGBC).The obtained results give evidence of the effectiveness of the formulated model in the established conditions, since their recommendations show a higher performance in the market. The contributions of this study aim at the deepening potential for other scenarios and the eventual possibility of adopting the model in real investment situations.

• Autores: Contreras, Orlando E.; Stein Bronfman, Roberto; Vecino, Carlos Enrique
• Fecha de publicación: 2014
• Institución: Universidad Santo Tomás
• Repositorio: Repositorio Institucional USTA
• Idioma: spa
• OAI Identifier: oai:repository.usta.edu.co:11634/36467
• Acceso en línea: http://revistas.ustabuca.edu.co/index.php/LEBRET/article/view/1459; http://hdl.handle.net/11634/36467
• License: Derechos de autor 2018 Revista Lebret