Improved portfolio selection using market expectations through penalization
The portfolio selection problem can be viewed as an optimization problem that maximizes a risk-return rela-tion. It has of course, an objective function, decision variables and input parameters: expected returns and covariance between them. These parameters' real values are not achievable for u...
- Autores:
-
Segura Acosta, Diego Hernán
- Tipo de recurso:
- Fecha de publicación:
- 2018
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/34699
- Acceso en línea:
- http://hdl.handle.net/1992/34699
- Palabra clave:
- Administración del portafolio - Modelos matemáticos
Ingeniería
- Rights
- openAccess
- License
- https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf
| id |
UNIANDES2_16d7b43121ceeed58da039faa39efa8e |
|---|---|
| oai_identifier_str |
oai:repositorio.uniandes.edu.co:1992/34699 |
| network_acronym_str |
UNIANDES2 |
| network_name_str |
Séneca: repositorio Uniandes |
| repository_id_str |
|
| dc.title.es_CO.fl_str_mv |
Improved portfolio selection using market expectations through penalization |
| title |
Improved portfolio selection using market expectations through penalization |
| spellingShingle |
Improved portfolio selection using market expectations through penalization Administración del portafolio - Modelos matemáticos Ingeniería |
| title_short |
Improved portfolio selection using market expectations through penalization |
| title_full |
Improved portfolio selection using market expectations through penalization |
| title_fullStr |
Improved portfolio selection using market expectations through penalization |
| title_full_unstemmed |
Improved portfolio selection using market expectations through penalization |
| title_sort |
Improved portfolio selection using market expectations through penalization |
| dc.creator.fl_str_mv |
Segura Acosta, Diego Hernán |
| dc.contributor.advisor.none.fl_str_mv |
Valencia Arboleda, Carlos Felipe |
| dc.contributor.author.none.fl_str_mv |
Segura Acosta, Diego Hernán |
| dc.contributor.jury.none.fl_str_mv |
Torres Cadena, Gonzalo Vidal, Alejandra |
| dc.subject.keyword.es_CO.fl_str_mv |
Administración del portafolio - Modelos matemáticos |
| topic |
Administración del portafolio - Modelos matemáticos Ingeniería |
| dc.subject.themes.none.fl_str_mv |
Ingeniería |
| description |
The portfolio selection problem can be viewed as an optimization problem that maximizes a risk-return rela-tion. It has of course, an objective function, decision variables and input parameters: expected returns and covariance between them. These parameters' real values are not achievable for us, therefore, estimations are needed and they are commonly based on historical data; apart from the error that this haul into the problem, it is not all the information that we could use. Options market prices are a rich source of investors' expecta-tions according to their knowledge about options' underlyings, thus, we propose the usage of a new estimator for risk and return that mixes up historical and implicit information into the portfolio selection problem. We implemented the new estimators for the Mean-VAR and Mean-VaR2 problems using an elastic-net model that helps us lessening the risk of all the estimations made. |
| publishDate |
2018 |
| dc.date.issued.none.fl_str_mv |
2018 |
| dc.date.accessioned.none.fl_str_mv |
2020-06-10T09:17:25Z |
| dc.date.available.none.fl_str_mv |
2020-06-10T09:17:25Z |
| dc.type.spa.fl_str_mv |
Trabajo de grado - Maestría |
| dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| dc.type.driver.spa.fl_str_mv |
info:eu-repo/semantics/masterThesis |
| dc.type.content.spa.fl_str_mv |
Text |
| dc.type.redcol.spa.fl_str_mv |
http://purl.org/redcol/resource_type/TM |
| dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/1992/34699 |
| dc.identifier.pdf.none.fl_str_mv |
u808320.pdf |
| dc.identifier.instname.spa.fl_str_mv |
instname:Universidad de los Andes |
| dc.identifier.reponame.spa.fl_str_mv |
reponame:Repositorio Institucional Séneca |
| dc.identifier.repourl.spa.fl_str_mv |
repourl:https://repositorio.uniandes.edu.co/ |
| url |
http://hdl.handle.net/1992/34699 |
| identifier_str_mv |
u808320.pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca repourl:https://repositorio.uniandes.edu.co/ |
| dc.language.iso.es_CO.fl_str_mv |
eng |
| language |
eng |
| dc.rights.uri.*.fl_str_mv |
https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf |
| dc.rights.accessrights.spa.fl_str_mv |
info:eu-repo/semantics/openAccess |
| dc.rights.coar.spa.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| rights_invalid_str_mv |
https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf http://purl.org/coar/access_right/c_abf2 |
| eu_rights_str_mv |
openAccess |
| dc.format.extent.es_CO.fl_str_mv |
14 hojas |
| dc.format.mimetype.es_CO.fl_str_mv |
application/pdf |
| dc.publisher.es_CO.fl_str_mv |
Uniandes |
| dc.publisher.program.es_CO.fl_str_mv |
Maestría en Ingeniería Industrial |
| dc.publisher.faculty.es_CO.fl_str_mv |
Facultad de Ingeniería |
| dc.publisher.department.es_CO.fl_str_mv |
Departamento de Ingeniería Industrial |
| dc.source.es_CO.fl_str_mv |
instname:Universidad de los Andes reponame:Repositorio Institucional Séneca |
| instname_str |
Universidad de los Andes |
| institution |
Universidad de los Andes |
| reponame_str |
Repositorio Institucional Séneca |
| collection |
Repositorio Institucional Séneca |
| bitstream.url.fl_str_mv |
https://repositorio.uniandes.edu.co/bitstreams/295fe152-b131-4726-86eb-4631060aab0a/download https://repositorio.uniandes.edu.co/bitstreams/b5b19340-a95e-44f5-895d-52921a6718f6/download https://repositorio.uniandes.edu.co/bitstreams/619f0ee1-080c-46c9-a8b3-e7aef0427ccf/download |
| bitstream.checksum.fl_str_mv |
3648d6e48da6d2a1a4ce264e8a3643be a85adbcdc29e9a1c4d62810505a0538a bffeee14e69d1c2a35b6a8fc841f2b7a |
| bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
| repository.name.fl_str_mv |
Repositorio institucional Séneca |
| repository.mail.fl_str_mv |
adminrepositorio@uniandes.edu.co |
| _version_ |
1812133847735730176 |
| spelling |
Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfinfo:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Valencia Arboleda, Carlos Felipevirtual::3358-1Segura Acosta, Diego Hernán79bd2267-c7b5-48ea-94fb-69339e9e2ce3500Torres Cadena, GonzaloVidal, Alejandra2020-06-10T09:17:25Z2020-06-10T09:17:25Z2018http://hdl.handle.net/1992/34699u808320.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/The portfolio selection problem can be viewed as an optimization problem that maximizes a risk-return rela-tion. It has of course, an objective function, decision variables and input parameters: expected returns and covariance between them. These parameters' real values are not achievable for us, therefore, estimations are needed and they are commonly based on historical data; apart from the error that this haul into the problem, it is not all the information that we could use. Options market prices are a rich source of investors' expecta-tions according to their knowledge about options' underlyings, thus, we propose the usage of a new estimator for risk and return that mixes up historical and implicit information into the portfolio selection problem. We implemented the new estimators for the Mean-VAR and Mean-VaR2 problems using an elastic-net model that helps us lessening the risk of all the estimations made.El problema de selección de portafolios puede ser visto como un problema de optimización que maximiza una relación riesgo-retorno. Tiene entonces, una función objetivo, variables de decisión y parámetros: retornos esperados y covarianza entre ellos. Los valores reales de dichos parámetros son desconocidos para nosotros entonces, debemos realizar estimaciones que comúnmente están basadas en datos históricos. Aparte del error que conlleva realizar la estimación, debemos reconocer que los datos históricos no son los únicos que podríamos usar. Los precios de las opciones son una rica fuente de información que muestra las expectativas de los inversionistas con base en sus conocimientos acerca de cada uno de los subyacentes. De esta manera, proponemos el uso de un nuevo estimador de riesgo-retorno que mezcla la información histórica con la implícita para el problema de selección de portafolios. Implementamos los nuevos estimadores para el problema de Media-Varianza y Media-VaR2 a través de un elastic-net que nos permite reducir el impacto del riesgo de las estimaciones realizadas.Magíster en Ingeniería IndustrialMaestría14 hojasapplication/pdfengUniandesMaestría en Ingeniería IndustrialFacultad de IngenieríaDepartamento de Ingeniería Industrialinstname:Universidad de los Andesreponame:Repositorio Institucional SénecaImproved portfolio selection using market expectations through penalizationTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMAdministración del portafolio - Modelos matemáticosIngenieríaPublicationhttps://scholar.google.es/citations?user=vPH5LywAAAAJvirtual::3358-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000271403virtual::3358-1e1de19e8-629e-401d-a9d3-77eea3d2db48virtual::3358-1e1de19e8-629e-401d-a9d3-77eea3d2db48virtual::3358-1TEXTu808320.pdf.txtu808320.pdf.txtExtracted texttext/plain40798https://repositorio.uniandes.edu.co/bitstreams/295fe152-b131-4726-86eb-4631060aab0a/download3648d6e48da6d2a1a4ce264e8a3643beMD54THUMBNAILu808320.pdf.jpgu808320.pdf.jpgIM Thumbnailimage/jpeg25119https://repositorio.uniandes.edu.co/bitstreams/b5b19340-a95e-44f5-895d-52921a6718f6/downloada85adbcdc29e9a1c4d62810505a0538aMD55ORIGINALu808320.pdfapplication/pdf1193920https://repositorio.uniandes.edu.co/bitstreams/619f0ee1-080c-46c9-a8b3-e7aef0427ccf/downloadbffeee14e69d1c2a35b6a8fc841f2b7aMD511992/34699oai:repositorio.uniandes.edu.co:1992/346992024-03-13 12:25:06.042https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfopen.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co |