Portfolio selection problem using linear and gaussian graphical models with penalization
Many alternatives have been proposed to improve the classic Markowitz mean-variance approach in the portfolio selection problem. Some alternatives focus in decreasing the error of the estimations of the expected return vector and the covariance matrix. Following this framework, in this paper we are...
- Autores:
-
Lloreda Palacios, Ricardo Andrés
- Tipo de recurso:
- Trabajo de grado de pregrado
- Fecha de publicación:
- 2017
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/39749
- Acceso en línea:
- http://hdl.handle.net/1992/39749
- Palabra clave:
- Administración del portafolio
Portafolio de inversiones
R (Lenguaje de programación de computadores)
Ingeniería
- Rights
- openAccess
- License
- https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf
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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::14805-1Lloreda Palacios, Ricardo Andrésef104d54-a5c9-4d50-b18c-0e1a511f6bf1500Cabrales Arévalo, Sergio Andrés2020-06-10T16:30:12Z2020-06-10T16:30:12Z2017http://hdl.handle.net/1992/39749u807146.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Many alternatives have been proposed to improve the classic Markowitz mean-variance approach in the portfolio selection problem. Some alternatives focus in decreasing the error of the estimations of the expected return vector and the covariance matrix. Following this framework, in this paper we are going to address this problem with penalizations over the asset's weights estimations, in both linear and graphical models. With these penalizations, we induce two important properties to the portfolios obtained, sparsity and stability. These properties yield a better out-of-sample performance for a portfolio because they decrease the error carried by the parameters estimations and also reduce the number of assets in a portfolio. Thus, they are desired for an investor"Muchas alternativas han sido propuestas para mejorar la estimación de portafolios financieros mediante le método propuesto por Markowitz. Algunas de estas se enfocan en disminuir el error generado por la estimación de la matriz de varianza-covarianza y el vector de retornos esperados. Basándonos en esto, este artículo académico busca atacar los errores presentados utilizando penalizaciones en las estimaciones de los pesos de los activos de un portafolio mediante modelos lineales y gráficos. Utilizando esa metodología, se inducirán dos propiedades importantes para un portafolio, estabilidad y "sparsity". Dichas propiedades logran que el portafolio presente un mejor desempeño en la muestra de prueba debido a que disminuyen el error acarreado por los parámetros estimados, y también disminuyen la cantidad de activos del portafolio."--Tomado del Formato de Documento de GradoIngeniero IndustrialPregrado5 hojasapplication/pdfengUniandesIngeniería IndustrialFacultad de IngenieríaDepartamento de Ingeniería Industrialinstname:Universidad de los Andesreponame:Repositorio Institucional SénecaPortfolio selection problem using linear and gaussian graphical models with penalizationTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesishttp://purl.org/coar/resource_type/c_7a1fhttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TPAdministración del portafolioPortafolio de inversionesR (Lenguaje de programación de computadores)IngenieríaPublicationhttps://scholar.google.es/citations?user=vPH5LywAAAAJvirtual::14805-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000271403virtual::14805-1e1de19e8-629e-401d-a9d3-77eea3d2db48virtual::14805-1e1de19e8-629e-401d-a9d3-77eea3d2db48virtual::14805-1TEXTu807146.pdf.txtu807146.pdf.txtExtracted texttext/plain23152https://repositorio.uniandes.edu.co/bitstreams/60a5d898-2ac9-43d6-bbcb-5313eb2371ad/download367b2f2519614c4dd4083708cd17145dMD54ORIGINALu807146.pdfapplication/pdf845416https://repositorio.uniandes.edu.co/bitstreams/201f1b6b-c871-48fa-af81-6ba2c75e181b/download4c327d7c1ac4a34d5c6eb7521ebc3b8bMD51THUMBNAILu807146.pdf.jpgu807146.pdf.jpgIM Thumbnailimage/jpeg26250https://repositorio.uniandes.edu.co/bitstreams/727099d9-83bf-4953-9d9a-b830e1094aee/download2889be65dece6a921d5bbb4aa0f1f145MD551992/39749oai:repositorio.uniandes.edu.co:1992/397492024-03-13 15:17:48.056https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfopen.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co |
| dc.title.es_CO.fl_str_mv |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| title |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| spellingShingle |
Portfolio selection problem using linear and gaussian graphical models with penalization Administración del portafolio Portafolio de inversiones R (Lenguaje de programación de computadores) Ingeniería |
| title_short |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| title_full |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| title_fullStr |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| title_full_unstemmed |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| title_sort |
Portfolio selection problem using linear and gaussian graphical models with penalization |
| dc.creator.fl_str_mv |
Lloreda Palacios, Ricardo Andrés |
| dc.contributor.advisor.none.fl_str_mv |
Valencia Arboleda, Carlos Felipe |
| dc.contributor.author.none.fl_str_mv |
Lloreda Palacios, Ricardo Andrés |
| dc.contributor.jury.none.fl_str_mv |
Cabrales Arévalo, Sergio Andrés |
| dc.subject.keyword.es_CO.fl_str_mv |
Administración del portafolio Portafolio de inversiones R (Lenguaje de programación de computadores) |
| topic |
Administración del portafolio Portafolio de inversiones R (Lenguaje de programación de computadores) Ingeniería |
| dc.subject.themes.none.fl_str_mv |
Ingeniería |
| description |
Many alternatives have been proposed to improve the classic Markowitz mean-variance approach in the portfolio selection problem. Some alternatives focus in decreasing the error of the estimations of the expected return vector and the covariance matrix. Following this framework, in this paper we are going to address this problem with penalizations over the asset's weights estimations, in both linear and graphical models. With these penalizations, we induce two important properties to the portfolios obtained, sparsity and stability. These properties yield a better out-of-sample performance for a portfolio because they decrease the error carried by the parameters estimations and also reduce the number of assets in a portfolio. Thus, they are desired for an investor |
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2017 |
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2017 |
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2020-06-10T16:30:12Z |
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2020-06-10T16:30:12Z |
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Trabajo de grado - Pregrado |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/bachelorThesis |
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http://purl.org/coar/resource_type/c_7a1f |
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Text |
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http://purl.org/redcol/resource_type/TP |
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http://hdl.handle.net/1992/39749 |
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u807146.pdf |
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eng |
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Ingeniería Industrial |
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Departamento de Ingeniería Industrial |
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