Análisis del criterio de dominancia estocástica (DE) para divisas: aplicación al portafolio de reservas internacionales colombiano

The present work consists of applying the stochastic dominance criterion for the currencies that make up the Colombian international reserves portfolio, constituted by the dollar, the euro and the yen, in order to identify the level of risk associated with each currency within wallet. In the development of the study it is found that the yen dominates stochastically in the three orders to the other two currencies. This research serves as a contribution to the strengthening of the study of uncertainty risk models applied to the Colombian financial market, because the risk models used in currencies have resulted in the criterion of the mean and variance exposed by Markowitz.

• Autores: Fajardo Zuluaga, Édgar Alejandro; Herrera Cardona, Luis Guillermo
• Fecha de publicación: 2013
• Institución: Universidad de San Buenaventura
• Repositorio: Repositorio USB
• Idioma: spa
• OAI Identifier: oai:bibliotecadigital.usb.edu.co:10819/5296
• Acceso en línea: http://hdl.handle.net/10819/5296
• Palabra clave: Dominancia estocástica; Volatilidad; Riesgo; Divisas; Función de distribución de probabilidad acumulada; Stochastic Dominance; Volatility; Risk; Foreign currency; Cumulative probability distribution function; Ecuaciones diferenciales estocasticas; Matrices estocasticas; Divisas; Factores de riesgo
• License: Atribución-NoComercial-SinDerivadas 2.5 Colombia