Estudio comparativo de dos métodos estadísticos de estimación robusta para optimizar un portafolio con activos de renta variable del mercado bursátil colombiano
The research focuses on improving the investment decision-making process by building more stable and efficient optimal portfolios. Robust statistical estimation methods, such as the Covariance Matrix with Minimum Determinant (MCD) method and the Minimum Volume Ellipsoid (MEV) method, are compared wi...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2024
- Institución:
- Universidad de América
- Repositorio:
- Lumieres
- Idioma:
- spa
- OAI Identifier:
- oai:repository.uamerica.edu.co:20.500.11839/9486
- Acceso en línea:
- https://hdl.handle.net/20.500.11839/9486
- Palabra clave:
- Estimación robusta
Métodos estadísticos
Modelos financieros
Robust estimation
Statistical methods
Modelos financieros
Tesis y disertaciones académicas
- Rights
- License
- Atribución – No comercial – Compartir igual
| Summary: | The research focuses on improving the investment decision-making process by building more stable and efficient optimal portfolios. Robust statistical estimation methods, such as the Covariance Matrix with Minimum Determinant (MCD) method and the Minimum Volume Ellipsoid (MEV) method, are compared with the classic Minimum Variance model. A quantitative research approach was used to objectively evaluate the effectiveness of these methods in constructing investment portfolios with companies listed on the Colombian Stock Exchange (BVC). Stock prices were obtained from the “Yahoo Finance!" platform and the models were implemented using the scientific program R. |
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