Optimización robusta de portafolio empleando métodos Bayesianos

En este artículo se implementa un modelo de optimización robusta bayesiana para la selección óptima de un portafolio de inversión. Para ello, se extiende el modelo desarrollado por Meucci, que consiste en la incorporación del enfoque bayesiano al modelo de portafolio robusto para definir el conjunto...

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Autores:
Carmona Espejo, Diego Felipe
Gamboa Hidalgo, Jhonatan
Tipo de recurso:
Article of journal
Fecha de publicación:
2022
Institución:
Universidad Externado de Colombia
Repositorio:
Biblioteca Digital Universidad Externado de Colombia
Idioma:
spa
OAI Identifier:
oai:bdigital.uexternado.edu.co:001/15345
Acceso en línea:
https://bdigital.uexternado.edu.co/handle/001/15345
https://doi.org/10.18601/17941113.n21.05
Palabra clave:
Optimal portfolio;
Bayesian methods;
robust optimization
portafolio óptimo;
métodos bayesianos;
optimización robusta
Rights
openAccess
License
Diego Felipe Carmona Espejo, Jhonatan Gamboa Hidalgo - 2022
id uexternad2_bd8aecc7c1f73f2cdb58949c8247743b
oai_identifier_str oai:bdigital.uexternado.edu.co:001/15345
network_acronym_str uexternad2
network_name_str Biblioteca Digital Universidad Externado de Colombia
repository_id_str
dc.title.spa.fl_str_mv Optimización robusta de portafolio empleando métodos Bayesianos
dc.title.translated.eng.fl_str_mv Robust portfolio optimization using Bayesian methods
title Optimización robusta de portafolio empleando métodos Bayesianos
spellingShingle Optimización robusta de portafolio empleando métodos Bayesianos
Optimal portfolio;
Bayesian methods;
robust optimization
portafolio óptimo;
métodos bayesianos;
optimización robusta
title_short Optimización robusta de portafolio empleando métodos Bayesianos
title_full Optimización robusta de portafolio empleando métodos Bayesianos
title_fullStr Optimización robusta de portafolio empleando métodos Bayesianos
title_full_unstemmed Optimización robusta de portafolio empleando métodos Bayesianos
title_sort Optimización robusta de portafolio empleando métodos Bayesianos
dc.creator.fl_str_mv Carmona Espejo, Diego Felipe
Gamboa Hidalgo, Jhonatan
dc.contributor.author.spa.fl_str_mv Carmona Espejo, Diego Felipe
Gamboa Hidalgo, Jhonatan
dc.subject.eng.fl_str_mv Optimal portfolio;
Bayesian methods;
robust optimization
topic Optimal portfolio;
Bayesian methods;
robust optimization
portafolio óptimo;
métodos bayesianos;
optimización robusta
dc.subject.spa.fl_str_mv portafolio óptimo;
métodos bayesianos;
optimización robusta
description En este artículo se implementa un modelo de optimización robusta bayesiana para la selección óptima de un portafolio de inversión. Para ello, se extiende el modelo desarrollado por Meucci, que consiste en la incorporación del enfoque bayesiano al modelo de portafolio robusto para definir el conjunto de incerti­dumbre de tipo elipsoidal, bajo una distribución Wishart inversa. De esta for­ma, se incorpora la incertidumbre de los parámetros estimados para crear la contraparte robusta en el modelo de portafolio. El modelo propuesto utiliza una función de distribución Gamma, como generalización de la función Wishart. Los resultados confirman las conclusiones de Meucci y corroboran las propiedades atribuidas a este tipo de portafolios.
publishDate 2022
dc.date.accessioned.none.fl_str_mv 2022-12-14T10:23:26Z
2024-06-07T07:31:00Z
dc.date.available.none.fl_str_mv 2022-12-14T10:23:26Z
2024-06-07T07:31:00Z
dc.date.issued.none.fl_str_mv 2022-12-14
dc.type.spa.fl_str_mv Artículo de revista
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https://revistas.uexternado.edu.co/index.php/odeon/article/download/8490/13488
dc.relation.citationedition.spa.fl_str_mv Núm. 21 , Año 2021 : Julio-Diciembre
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dc.relation.ispartofjournal.spa.fl_str_mv ODEON
dc.relation.references.spa.fl_str_mv Avramov, D. y Zhou, G. (2010). Bayesian portfolio analysis. Annual Review of Financial Economics, 2(1), 25-47. https://faculty.runi.ac.il/davramov/paper10.pdf
Bade, A., Frahm, G. y Jaekel, U. (2009). A general approach to Bayesian portfolio optimization. Mathematical Methods of Operations Research, 70(2), 337-356. https://doi.org/10.1007/s00186-008-0271-4
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
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
Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimi¬zation and management. John Wiley & Sons.
Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. https://doi.org/10.1016/0304- 405X(93)90023-5
Garlappi, L., Uppal, R. y Wang, T. (2007). Portfolio selection with parameter and mo¬del uncertainty: A multi-prior approach. The Review of Financial Studies, 20(1), 41-81. https://doi.org/10.1093/rfs/hhl003
Georgantas, A. (2020). Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. Working paper. https://arxiv.org/ abs/2010.13397
Goldfarb, D. e 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
Halldórsson, B. y Tütüncü, R. H. (2003). An interior-point method for a class of saddle-point problems. Journal of Optimization Theory and Applications, 116(3), 559-590. https://doi.org/10.1023/A:1023065319772
Hoffman, M., Brochu, E. y De Freitas, N. (2011). Portfolio allocation for ayesian optimi-zation. En Proceedings of the Twenty-Seventh Conference on Uncertainty in Ar¬tificial Intelligence, 327-336. https://dl.acm.org/doi/abs/10.5555/3020548.3020587
Kim, W. C., Kim, J. H., Ahn, S. H. y Fabozzi, F. J. (2013). What do robust equity port¬folio models really do? Annals of Operations Research, 205(1), 141-168. https:// doi.org/10.1007/s10479-012-1247-6
Kim, W. C., Kim, J. H. y Fabozzi, F. J. (2015). Robust Equity Portfolio Management: Formulations, Implementations, and Properties Using MATLAB. John Wiley & Sons.
Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfo¬lio performance. Annals of Operations Research, 266(1), 293-312. https://doi. org/10.1007/s10479-017-2739-1
Lobo, M. S., Vandenberghe, L., Boyd, S. y Lebret, H. (1998). Applications of second-order cone programming. Linear Algebra and its Applications, 284(1-3), 193-228. https://doi.org/10.1016/S0024-3795(98)10032-0
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New Heaven: Yale university Press.
Meucci, A. (2005). Risk and asset allocation (vol. 1). Springer.
Meucci, A. (2011). Robust Bayesian Allocation. ssrn Working paper 681553. https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=681553
Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Oxford University Press.
Michaud, R. y Michaud, R. (2008). Estimation error and portfolio optimization: A resampling solution. Journal of Investment Management, 6(1), 8-28.
Nesterov, Y. y Nemirovsky, A. (1993). Interior Point Polynomial Methods in Convex Programming: Theory and Algorithms. SIAM.
Pachamanova, D. y Fabozzi, F. (2012). Equity portfolio selection models in practice. En-cyclopedia of Financial Models, 1(1), 61-87. https://doi.org/10.1002/9781118182635. efm0046
Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1), 157-187. https://doi.org/10.1023/b:anor.0000045281.41041.ed
Williams, J. (1938). The Theory of Investment Value. Harvard University Press.
Zapata, C. (2021). Optimización robusta de portafolios: conjuntos de incertidumbre y contrapartes robustas. odeon, 20, 93-121. https://doi.org/10.18601/17941113.n20.04
dc.rights.spa.fl_str_mv Diego Felipe Carmona Espejo, Jhonatan Gamboa Hidalgo - 2022
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spelling Carmona Espejo, Diego FelipeGamboa Hidalgo, Jhonatan2022-12-14T10:23:26Z2024-06-07T07:31:00Z2022-12-14T10:23:26Z2024-06-07T07:31:00Z2022-12-14En este artículo se implementa un modelo de optimización robusta bayesiana para la selección óptima de un portafolio de inversión. Para ello, se extiende el modelo desarrollado por Meucci, que consiste en la incorporación del enfoque bayesiano al modelo de portafolio robusto para definir el conjunto de incerti­dumbre de tipo elipsoidal, bajo una distribución Wishart inversa. De esta for­ma, se incorpora la incertidumbre de los parámetros estimados para crear la contraparte robusta en el modelo de portafolio. El modelo propuesto utiliza una función de distribución Gamma, como generalización de la función Wishart. Los resultados confirman las conclusiones de Meucci y corroboran las propiedades atribuidas a este tipo de portafolios.In this paper we implemented a Bayesian robust optimization model to select an optimal investment portfolio. To do that, we extended the model developed by Meucci, which consists of incorporating the Bayesian approach into the robust portfolio model in order to define an ellipsoidal-type uncertainty set under an Inverse Wishart Distribution. Thus, the uncertainty of the estimated parameters for create the robust counterpart in the portfolio model. The proposed model uses a Gamma distribution function, as a generalization of the Wishart func­tion. Results confirm Meucci’s conclusions and, it corroborates the properties attributed to those portfolios.application/pdftext/html10.18601/17941113.n21.052346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/15345https://doi.org/10.18601/17941113.n21.05spaUniversidad Externado de Colombiahttps://revistas.uexternado.edu.co/index.php/odeon/article/download/8490/13487https://revistas.uexternado.edu.co/index.php/odeon/article/download/8490/13488Núm. 21 , Año 2021 : Julio-Diciembre1042181ODEONAvramov, D. y Zhou, G. (2010). Bayesian portfolio analysis. Annual Review of Financial Economics, 2(1), 25-47. https://faculty.runi.ac.il/davramov/paper10.pdfBade, A., Frahm, G. y Jaekel, U. (2009). A general approach to Bayesian portfolio optimization. Mathematical Methods of Operations Research, 70(2), 337-356. https://doi.org/10.1007/s00186-008-0271-4Best, M. y Grauer, R. (1991). Sensitivity analysis for mean-variance portfolio problems. Management Science, 37(8), 980-989. https://doi.org/10.1287/mnsc.37.8.980Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimi¬zation and management. John Wiley & Sons.Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. https://doi.org/10.1016/0304- 405X(93)90023-5Garlappi, L., Uppal, R. y Wang, T. (2007). Portfolio selection with parameter and mo¬del uncertainty: A multi-prior approach. The Review of Financial Studies, 20(1), 41-81. https://doi.org/10.1093/rfs/hhl003Georgantas, A. (2020). Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. Working paper. https://arxiv.org/ abs/2010.13397Goldfarb, D. e Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38. https://doi.org/10.1287/moor.28.1.1.14260Halldórsson, B. y Tütüncü, R. H. (2003). An interior-point method for a class of saddle-point problems. Journal of Optimization Theory and Applications, 116(3), 559-590. https://doi.org/10.1023/A:1023065319772Hoffman, M., Brochu, E. y De Freitas, N. (2011). Portfolio allocation for ayesian optimi-zation. En Proceedings of the Twenty-Seventh Conference on Uncertainty in Ar¬tificial Intelligence, 327-336. https://dl.acm.org/doi/abs/10.5555/3020548.3020587Kim, W. C., Kim, J. H., Ahn, S. H. y Fabozzi, F. J. (2013). What do robust equity port¬folio models really do? Annals of Operations Research, 205(1), 141-168. https:// doi.org/10.1007/s10479-012-1247-6Kim, W. C., Kim, J. H. y Fabozzi, F. J. (2015). Robust Equity Portfolio Management: Formulations, Implementations, and Properties Using MATLAB. John Wiley & Sons.Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfo¬lio performance. Annals of Operations Research, 266(1), 293-312. https://doi. org/10.1007/s10479-017-2739-1Lobo, M. S., Vandenberghe, L., Boyd, S. y Lebret, H. (1998). Applications of second-order cone programming. Linear Algebra and its Applications, 284(1-3), 193-228. https://doi.org/10.1016/S0024-3795(98)10032-0Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New Heaven: Yale university Press.Meucci, A. (2005). Risk and asset allocation (vol. 1). Springer.Meucci, A. (2011). Robust Bayesian Allocation. ssrn Working paper 681553. https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=681553Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Oxford University Press.Michaud, R. y Michaud, R. (2008). Estimation error and portfolio optimization: A resampling solution. Journal of Investment Management, 6(1), 8-28.Nesterov, Y. y Nemirovsky, A. (1993). Interior Point Polynomial Methods in Convex Programming: Theory and Algorithms. SIAM.Pachamanova, D. y Fabozzi, F. (2012). Equity portfolio selection models in practice. En-cyclopedia of Financial Models, 1(1), 61-87. https://doi.org/10.1002/9781118182635. efm0046Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1), 157-187. https://doi.org/10.1023/b:anor.0000045281.41041.edWilliams, J. (1938). The Theory of Investment Value. Harvard University Press.Zapata, C. (2021). Optimización robusta de portafolios: conjuntos de incertidumbre y contrapartes robustas. odeon, 20, 93-121. https://doi.org/10.18601/17941113.n20.04Diego Felipe Carmona Espejo, Jhonatan Gamboa Hidalgo - 2022info: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/8490Optimal portfolio;Bayesian methods;robust optimizationportafolio óptimo;métodos bayesianos;optimización robustaOptimización robusta de portafolio empleando métodos BayesianosRobust portfolio optimization using Bayesian methodsArtículo 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/xml2565https://bdigital.uexternado.edu.co/bitstreams/0d574170-016f-46d4-9228-17cc71b14f9d/download47bd85b0304bcfef6217357de15485f4MD51001/15345oai:bdigital.uexternado.edu.co:001/153452024-06-07 02:31:00.67http://creativecommons.org/licenses/by-nc-sa/4.0Diego Felipe Carmona Espejo, Jhonatan Gamboa Hidalgo - 2022https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org

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