Abstract:
Dada la coyuntura econA³mica que ha afectado al paAs durante los Aoltimos tres aA±os, se busca identificar el cambio de la composiciA³n del portafolio accionario en Colombia basado en el listado de acciones que componen el Andice COLCAP en dos periodos de tiempo, uno donde se haya presentado un auge en el sector petrolero y otro en el que no. Para ello se hizo uso de tres mA©todos diferentes de optimizaciA³n de portafolio utilizando medidas coherentes del riesgo como el CVaR. Los resultados evidencian que ante una coyuntura macroeconA³mica incierta el riesgo de mercado aumenta y asimismo las decisiones A³ptimas de inversiA³n se ven afectadas no solo en tA©rminos de los sectores econA³micos involucrados sino en nivel de riesgo que se asume con la inversiA³n. De esta manera, se observa que sectores como el de la construcciA³n y el financiero sirven de refugio para los inversionistas en periodos de incertidumbre, asA como activos de empresas con un portafolio de inversiA³n bien diversificado. ****** According to current economic situation that has affected Colombia during last three years, this study looks for identifying the change in the composition of the stock portfolio in Colombia based on COLCAP index using two periods for comparison, one where there has been a boom in the oil sector and another where there is not. In order to achieve this goal, there have been used three methods of portfolio optimization using coherent measures of risk as CVaR. Results not only evidence that market risk raises on crisis periods, but also show optimal investment decisions are affected by risk level assumed according to branches of economic activity involved. By this way, it is clear that construction and financial services serve as refugee to investor in crisis periods, as well as assets of companies with a welldiversified investment portfolio.
Tópico:
Reservoir Engineering and Simulation Methods
