Design and retrospective evaluation of an investment strategy in the Colombian stock exchange market, through the maximization of the Sharpe’s Ratio
This current article represents the briefing of the results obtained by applying a optimization model developed through the use of Sharpe’s Ratio, which through a retrospective analysis simulates an investment strategy taking into account historic data of the Colombian Stock Exchange Market. From it...
| Autor Principal: | Contreras, Orlando E.; Universidad Industrial de Santander |
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| Otros Autores: | Stein Bronfman, Roberto; Universidad de la Florida, Vecino, Carlos Enrique; Universidad Industrial de Santander |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Universidad Santo Tomás seccional Bucaramanga
2014
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| Materias: | |
| Acceso en línea: |
http://revistas.ustabuca.edu.co/index.php/LEBRET/article/view/1459 |
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| Sumario: |
This current article represents the briefing of the results obtained by applying a optimization model developed through the use of Sharpe’s Ratio, which through a retrospective analysis simulates an investment strategy taking into account historic data of the Colombian Stock Exchange Market. From its application, annual recommended portfolios are obtained, then they are compared with the real Colombia Stock Exchange Market values (IGBC).The obtained results give evidence of the effectiveness of the formulated model in the established conditions, since their recommendations show a higher performance in the market. The contributions of this study aim at the deepening potential for other scenarios and the eventual possibility of adopting the model in real investment situations. |
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