Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano/Investment strategy based on the optimization of the reward to risk ratio: Evidence from the Colombian stock market

This paper assesses and compares the observed returns in the market portfolio with those obtained by an optimization strategy model that maximizes the Sharpe ratio, based on daily returns from the Colombian stock market data. Twelve recommended biannual portfolios are obtained for the period 2007-20...

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Bibliographic Details
Published in:Estudios gerenciales 2015-10, Vol.31 (137), p.383
Main Authors: Contreras, Orlando E, Bronfman, Roberto Stein, Arenas, Carlos E Vecino
Format: Article
Language:Spanish
Subjects:
Investment policy
Investments
Optimization
Optimization techniques
Portfolio performance
Ratio analysis
Securities markets
Stocks
Studies
Online Access:Get full text
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Summary:This paper assesses and compares the observed returns in the market portfolio with those obtained by an optimization strategy model that maximizes the Sharpe ratio, based on daily returns from the Colombian stock market data. Twelve recommended biannual portfolios are obtained for the period 2007-2012, which are then compared against real stock from the Colombian stock index. The results show the superiority of the strategy of the designed algorithm over the returns obtained in the market portfolio. This shows the inefficiency of the market portfolio and the potential of applying this strategy in other contexts and the possibility of adopting the model in real investment decisions.
ISSN:0123-5923
DOI:10.1016/j.estger.2015.07.005