Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos

En este trabajo se presentan los principales desarrollos teóricos de la teoría moderna de portafolios. Inicialmente, se introducen los elementos fundamentales del modelo media-varianza (MV) de Markowitz, su formulación y solución del problema de optimización, así como sus limitaciones. Luego, se pre...

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Autores:
Zapata Quimbayo, Carlos Andrés
Tipo de recurso:
Article of journal
Fecha de publicación:
2023
Institución:
Universidad Externado de Colombia
Repositorio:
Biblioteca Digital Universidad Externado de Colombia
Idioma:
spa
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oai:bdigital.uexternado.edu.co:001/15365
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https://bdigital.uexternado.edu.co/handle/001/15365
https://doi.org/10.18601/17941113.n24.06
Palabra clave:
Portfolio theory;
risk measures;
robust portfolios
teoría de portafolio;
medidas de riesgo;
portafolios robustos
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openAccess
License
Carlos Andrés Zapata Quimbayo - 2023
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network_name_str Biblioteca Digital Universidad Externado de Colombia
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dc.title.spa.fl_str_mv Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
dc.title.translated.eng.fl_str_mv Modern Portfolio Theory: Fundamental Developments, Extensions, and Robust Approaches
title Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
spellingShingle Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
Portfolio theory;
risk measures;
robust portfolios
teoría de portafolio;
medidas de riesgo;
portafolios robustos
title_short Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
title_full Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
title_fullStr Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
title_full_unstemmed Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
title_sort Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos
dc.creator.fl_str_mv Zapata Quimbayo, Carlos Andrés
dc.contributor.author.spa.fl_str_mv Zapata Quimbayo, Carlos Andrés
dc.subject.eng.fl_str_mv Portfolio theory;
risk measures;
robust portfolios
topic Portfolio theory;
risk measures;
robust portfolios
teoría de portafolio;
medidas de riesgo;
portafolios robustos
dc.subject.spa.fl_str_mv teoría de portafolio;
medidas de riesgo;
portafolios robustos
description En este trabajo se presentan los principales desarrollos teóricos de la teoría moderna de portafolios. Inicialmente, se introducen los elementos fundamentales del modelo media-varianza (MV) de Markowitz, su formulación y solución del problema de optimización, así como sus limitaciones. Luego, se presentan diferentes extensiones del MV al introducir medidas alternativas de riesgo, así como los ajustes del modelo de construcción de portafolios. En este ámbito, se expone el enfoque de downside risk. Finalmente, se introducen los enfoques robustos de portafolio teniendo en cuenta los enfoques: bayesiano, de optimización robusta y de paridad de riesgo. Desde estos nuevos enfoques se resaltan aquellos ajustes que permiten superar las principales limitaciones del modelo MV. También, se introducen desarrollos recientes que extienden las formulaciones originales del modelo de portafolio para tratar nuevos desafíos y problemáticas actuales.
publishDate 2023
dc.date.accessioned.none.fl_str_mv 2023-11-30T09:55:17Z
2024-06-07T07:31:16Z
dc.date.available.none.fl_str_mv 2023-11-30T09:55:17Z
2024-06-07T07:31:16Z
dc.date.issued.none.fl_str_mv 2023-11-30
dc.type.spa.fl_str_mv Artículo de revista
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dc.relation.ispartofjournal.spa.fl_str_mv ODEON
dc.relation.references.spa.fl_str_mv Acerbi, C. y Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking and Finance, 26(7), 1487-1503. https://doi.org/10.1016/S0378-4266(02)00283-2
Artzner, P., Delbaen, F., Eber, J. y Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228. https://doi.org/10.1111/1467-9965.00068
Bellman, R. (1957). A Markovian decision process. Journal of Mathematics and Mechanics, 679-684.
Ben-Tal, A. y Nemirovski, A. (1998). Robust convex optimization. Mathematics of Operations Research, 23(4), 769-805. https://doi.org/10.1287/moor.23.4.769
Berstein, P. (1992). Capital Ideas: The Improbable Origins of Modern Wall Street. The Free Press.
Best, M. y Grauer, R. (1991). Sensitivity analysis for mean-variance portfolio problems. Management Science, 37(8), 980-989. https://doi.org/10.1287/mnsc.37.8.980
Bertsimas, D., Brown, D. y Caramanis, C. (2011). Theory and applications of robust optimization. SIAM Review, 53(3), 464-501. https://doi.org/10.1137/080734510
Black, F. y Litterman, R. (1991). Global Asset Allocation with Equities, Bonds, and Currencies. Goldman, Sachs & Co Fixed Income Research, 1-44.
Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28
Carmona, D. y Gamboa, J. (2022). Optimización robusta de portafolio empleando métodos Bayesianos. ODEON, 21, 81-104. https://doi.org/10.18601/17941113.n21.05
Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance portfolio profitability? Sustainability, 14(4), 20-50. https://doi.org/10.3390/su14042050
Chopra, V. y Ziemba, W. (1993). The effects of errors in means, variances, and covariances on optimal portfolio choice. Journal of Portfolio Management, 19(2), -11. https://doi.org/ 10.1142/9789814417358_0021
Choueifaty, Y. y Coignard, Y. (2008). Toward maximum diversification. The Journal of Portfolio Management, 35(1), 40-51.
Constantinides, G. y Malliaris, A. (1995). Portfolio theory. Handbooks in Operations Research and Management Science, 9(1), 1-30. https://doi.org/10.1016/S0927-0507(05)80045-3
Coqueret, G. (2022). Perspectives in Sustainable Equity Investing. CRC Press.
De Finetti, B. (1940). The problem of ‘full-risk insurances’. Journal of Investment Management, 4(1), 19-43.
El Ghaoui, L. y Lebret, H. (1997). Robust solutions to least-squares problems with uncertain data. SIAM Journal on Matrix Analysis and Applications, 18(4), 1035-1064. https://doi.org/10.1137/S0895479896298130
El Ghaoui, L., Oustry, F. y Lebret, H. (1998). Robust solutions to uncertain semidefinite programs. SIAM Journal on Optimization, 9(1), 33-52. https://doi.org/10.1137/S1052623496305717
Elton, E., Gruber, M. y Padberg, M. (1976). Simple criteria for optimal portfolio selection. Journal of Finance, 11(5), 1341-1357. https://doi.org/10.2307/2326684
Fisher, I. (1907). The Rate of Interest: Its nature, determination and relation to economic phenomena. MacMillan.
Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimization and management. John Wiley & Sons.
Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181-1190. https://doi.org/10.1016/j.ejor.2016.10.043
Georgantas, A., Doumpos, M. y Zopounidis, C. (2021). Robust optimization approaches for portfolio selection: A comparative analysis. Annals of Operations Research, 1-17. https://doi.org/10.1007/s10479-021-04177-y
Goldfarb, D., Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38. https://doi.org/10.1287/moor.28.1.1.14260
He, G. y Litterman, R. (1999). The intuition behind Black-Litterman model portfolios. Goldman Sachs - Investment Management Research, Technical report, 1-18.
Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi.org/10.3905/ jpm.2019.45.4.067
Hirschberger, M., Steuer, R., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140
James, W., y Stein, C. (1961). Estimation with quadratic loss. Proceedings Fourth Berkeley Symposium of Math. Statis. Prob., 1, 361-380.
Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfolio performance. Annals of Operations Research, 266(1), 293-312. https://doi.org/10.1007/ s10479-017-2739-1
Kolm, P., Tütüncü, R., y Fabozzi, F. (2014). 60 years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060
Krokhmal, P., Palmquist, J. y Uryasev, S. (2002). Portfolio optimization with conditional value-at-risk objective and constraints. Journal of Risk, 4(1), 43-68.
Ledoit, O. y Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 10(5), 603-621. https://doi.org/10.1016/S0927-5398(03)00007-0
Ledoit, O. y Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 88(2), 365-411. https://doi.org/10.1016/S0047-259X(03)00096-4
León, B. y Zapata, C. (2023). Gestión moderna de portafolio: una guía cuantitativa con aplicaciones en R y Python. Colegio de Estudios Superiores de Administración (CESA).
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Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. Yale University Press.
Marschak, J. (1938). Money and the Theory of Assets. Econometrica, Journal of the Econometric Society, 311-325. https://doi.org/10.2307/1905409
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Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Oxford University Press.
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Pachamanova, D. y Fabozzi, F. (2012). Equity portfolio selection models in practice. Encyclopedia of Financial Models, 1(1), 61-87. https://doi.org/10.1002/9781118182635.efm0046
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Qian, E. (2011). Risk parity and diversification. The Journal of Investing, 20(1), 119-127. Rockefellar, R. y Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2(3), 21-41. https://doi.org/10.21314/JOR.2000.038
Rockafellar, R. y Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471. https://doi.org/10.1016/S0378-4266(02)00271-6
Romero, C. (2010). La Teoría Moderna de Portafolio: un ensayo sobre sus formulaciones originales y sus repercusiones contemporáneas. ODEON, 5, 103-118.
Roncalli, T. (2014). Introduction to Risk Parity and Budgeting. CRC Press.
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Zapata, C. (2021a). Optimización robusta de portafolios: conjuntos de incertidumbre y contrapartes robustas. ODEON, 20, 93-121. https://doi.org/10.18601/17941113.n20.04
Zapata, C. (2021b). Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable. ODEON, 21, 55-79. https://doi.org/10.18601/17941113.n21.04
dc.rights.spa.fl_str_mv Carlos Andrés Zapata Quimbayo - 2023
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spelling Zapata Quimbayo, Carlos Andrés2023-11-30T09:55:17Z2024-06-07T07:31:16Z2023-11-30T09:55:17Z2024-06-07T07:31:16Z2023-11-30En este trabajo se presentan los principales desarrollos teóricos de la teoría moderna de portafolios. Inicialmente, se introducen los elementos fundamentales del modelo media-varianza (MV) de Markowitz, su formulación y solución del problema de optimización, así como sus limitaciones. Luego, se presentan diferentes extensiones del MV al introducir medidas alternativas de riesgo, así como los ajustes del modelo de construcción de portafolios. En este ámbito, se expone el enfoque de downside risk. Finalmente, se introducen los enfoques robustos de portafolio teniendo en cuenta los enfoques: bayesiano, de optimización robusta y de paridad de riesgo. Desde estos nuevos enfoques se resaltan aquellos ajustes que permiten superar las principales limitaciones del modelo MV. También, se introducen desarrollos recientes que extienden las formulaciones originales del modelo de portafolio para tratar nuevos desafíos y problemáticas actuales.This paper presents the main theoretical developments of modern portfolio theory. At first, the fundamental elements of the Markowitz mean-variance model (MV), its formulation and solution of the optimization problem, as well as its limitations, are introduced. Then, different extensions of the MV model are presented by introducing alternative risk measures, as well as the adjustments of the portfolio construction model. In that sense, the downside risk approach is presented. Finally, robust portfolio approaches are introduced considering Bayesian, robust optimization, and risk-parity approaches. From these novel approaches, the adjustments that allow us overcoming some of the limitations of the MV model are highlighted. Also, recent developments that extend the original formulations of the portfolio model to address new challenges and current issues are introduced.application/pdf10.18601/17941113.n24.062346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/15365https://doi.org/10.18601/17941113.n24.06spaUniversidad Externado de Colombiahttps://revistas.uexternado.edu.co/index.php/odeon/article/download/9075/15145Núm. 24 , Año 2023 : Enero-Junio1182493ODEONAcerbi, C. y Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking and Finance, 26(7), 1487-1503. https://doi.org/10.1016/S0378-4266(02)00283-2Artzner, P., Delbaen, F., Eber, J. y Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228. https://doi.org/10.1111/1467-9965.00068Bellman, R. (1957). A Markovian decision process. Journal of Mathematics and Mechanics, 679-684.Ben-Tal, A. y Nemirovski, A. (1998). Robust convex optimization. Mathematics of Operations Research, 23(4), 769-805. https://doi.org/10.1287/moor.23.4.769Berstein, P. (1992). Capital Ideas: The Improbable Origins of Modern Wall Street. The Free Press.Best, M. y Grauer, R. (1991). Sensitivity analysis for mean-variance portfolio problems. Management Science, 37(8), 980-989. https://doi.org/10.1287/mnsc.37.8.980Bertsimas, D., Brown, D. y Caramanis, C. (2011). Theory and applications of robust optimization. SIAM Review, 53(3), 464-501. https://doi.org/10.1137/080734510Black, F. y Litterman, R. (1991). Global Asset Allocation with Equities, Bonds, and Currencies. Goldman, Sachs & Co Fixed Income Research, 1-44.Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28Carmona, D. y Gamboa, J. (2022). Optimización robusta de portafolio empleando métodos Bayesianos. ODEON, 21, 81-104. https://doi.org/10.18601/17941113.n21.05Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance portfolio profitability? Sustainability, 14(4), 20-50. https://doi.org/10.3390/su14042050Chopra, V. y Ziemba, W. (1993). The effects of errors in means, variances, and covariances on optimal portfolio choice. Journal of Portfolio Management, 19(2), -11. https://doi.org/ 10.1142/9789814417358_0021Choueifaty, Y. y Coignard, Y. (2008). Toward maximum diversification. The Journal of Portfolio Management, 35(1), 40-51.Constantinides, G. y Malliaris, A. (1995). Portfolio theory. Handbooks in Operations Research and Management Science, 9(1), 1-30. https://doi.org/10.1016/S0927-0507(05)80045-3Coqueret, G. (2022). Perspectives in Sustainable Equity Investing. CRC Press.De Finetti, B. (1940). The problem of ‘full-risk insurances’. Journal of Investment Management, 4(1), 19-43.El Ghaoui, L. y Lebret, H. (1997). Robust solutions to least-squares problems with uncertain data. SIAM Journal on Matrix Analysis and Applications, 18(4), 1035-1064. https://doi.org/10.1137/S0895479896298130El Ghaoui, L., Oustry, F. y Lebret, H. (1998). Robust solutions to uncertain semidefinite programs. SIAM Journal on Optimization, 9(1), 33-52. https://doi.org/10.1137/S1052623496305717Elton, E., Gruber, M. y Padberg, M. (1976). Simple criteria for optimal portfolio selection. Journal of Finance, 11(5), 1341-1357. https://doi.org/10.2307/2326684Fisher, I. (1907). The Rate of Interest: Its nature, determination and relation to economic phenomena. MacMillan.Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimization and management. John Wiley & Sons.Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181-1190. https://doi.org/10.1016/j.ejor.2016.10.043Georgantas, A., Doumpos, M. y Zopounidis, C. (2021). Robust optimization approaches for portfolio selection: A comparative analysis. Annals of Operations Research, 1-17. https://doi.org/10.1007/s10479-021-04177-yGoldfarb, D., Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38. https://doi.org/10.1287/moor.28.1.1.14260He, G. y Litterman, R. (1999). The intuition behind Black-Litterman model portfolios. Goldman Sachs - Investment Management Research, Technical report, 1-18.Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi.org/10.3905/ jpm.2019.45.4.067Hirschberger, M., Steuer, R., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140James, W., y Stein, C. (1961). Estimation with quadratic loss. Proceedings Fourth Berkeley Symposium of Math. Statis. Prob., 1, 361-380.Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfolio performance. Annals of Operations Research, 266(1), 293-312. https://doi.org/10.1007/ s10479-017-2739-1Kolm, P., Tütüncü, R., y Fabozzi, F. (2014). 60 years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060Krokhmal, P., Palmquist, J. y Uryasev, S. (2002). Portfolio optimization with conditional value-at-risk objective and constraints. Journal of Risk, 4(1), 43-68.Ledoit, O. y Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 10(5), 603-621. https://doi.org/10.1016/S0927-5398(03)00007-0Ledoit, O. y Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. 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ODEON, 21, 55-79. https://doi.org/10.18601/17941113.n21.04Carlos Andrés Zapata Quimbayo - 2023info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.http://creativecommons.org/licenses/by-nc-sa/4.0https://revistas.uexternado.edu.co/index.php/odeon/article/view/9075Portfolio theory;risk measures;robust portfoliosteoría de portafolio;medidas de riesgo;portafolios robustosTeoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustosModern Portfolio Theory: Fundamental Developments, Extensions, and Robust ApproachesArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2550https://bdigital.uexternado.edu.co/bitstreams/94b110ce-b64e-4b19-b8fd-e6248f8b18b5/downloadd17a67b817f9efd03bed32f6728639ccMD51001/15365oai:bdigital.uexternado.edu.co:001/153652024-06-07 02:31:16.664http://creativecommons.org/licenses/by-nc-sa/4.0Carlos Andrés Zapata Quimbayo - 2023https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org

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