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- Title
Teoría moderna de portafolio: desarrollos fundamentales, extensiones y enfoques robustos.
- Authors
Zapata Quimbayo, Carlos Andrés
- Abstract
This paper presents the main theoretical developments of modern portfolio theory. At first, the fundamental elements of the Markowitz mean-variance model (MV), its formulation and solution of the optimization problem, as well as its limitations, are introduced. Then, different extensions of the MV model are presented by introducing alternative risk measures, as well as the adjustments of the portfolio construction model. In that sense, the downside risk approach is presented. Finally, robust portfolio approaches are introduced considering Bayesian, robust optimization, and risk-parity approaches. From these novel approaches, the adjustments that allow us overcoming some of the limitations of the MV model are highlighted. Also, recent developments that extend the original formulations of the portfolio model to address new challenges and current issues are introduced.
- Subjects
PORTFOLIO management (Investments)
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2023, Issue 24, p93
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n24.06