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 develop...
| Autor Principal: | Fajardo Zuluaga, Édgar Alejandro |
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| Otros Autores: | Herrera Cardona, Luis Guillermo |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Universidad de San Buenaventura - Cali
2017
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| Materias: | |
| Acceso en línea: |
0123-5834 |
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| Sumario: |
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. |
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