TY  - JOUR 
TI  - Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano
PB  - Universidad Icesi
PY  - 2015
issn 01235923
AB  - 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.
KW  - Producción intelectual registrada - Universidad Icesi
KW  - Portafolio de inversiones
KW  - Mercado bursatil
KW  - Bolsa de valores
KW  - Investment portfolios
KW  - Stock market
UR  - http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2128
ER  -