Optimización de Portafolios con Capital en Riesgo Acotado

Autor:	Liliana Blanco Castañeda, J Hugo Eduardo Ramirez
Rok vydání:	2012
Předmět:	Stochastic control Welfare economics media_common.quotation_subject Capital (economics) General Earth and Planetary Sciences Portfolio Variance (accounting) Art Market model Cartography Selection (genetic algorithm) General Environmental Science media_common
Zdroj:	Revista Mexicana de Economía y Finanzas. 7:211-231
ISSN:	2448-6795 1665-5346
Popis:	In recent years Capital at Risk has been brought into the market as a way to minimizing risks in the replacement of the variance in optimal portfolio selection problems. A study was conducted for this work, by utilizing the classical stochastic control methodology on the consequences of using the Capital at Risk measure in a Black-Scholes simple market model and in a Generalized Inverse Diffusion market. Theoretical results were compared to data taken from bolsa de Valores de Colombia, for the cases of Ecopetrol and Isa.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d733ee542d6f2052c18dddd8c21556e1 https://doi.org/10.21919/remef.v7i2.36 Zobrazit plný text záznamu