- -

Mean-variance investment strategy applied in emerging financial markets: evidence from the Colombian stock market

RiuNet: Repositorio Institucional de la Universidad Politécnica de Valencia

Compartir/Enviar a

Citas

Estadísticas

  • Estadisticas de Uso

Mean-variance investment strategy applied in emerging financial markets: evidence from the Colombian stock market

Mostrar el registro sencillo del ítem

Ficheros en el ítem

Thumbnail
Nombre: -García;Oliver;JAIRO ...
Tamaño: 290.7Kb
Formato: PDF
Descripción: Versión del Editor
Abrir
dc.contributor.author García García, Fernando es_ES
dc.contributor.author González Bueno, Jairo Alexander es_ES
dc.contributor.author Oliver Muncharaz, Javier es_ES
dc.date.accessioned 2016-05-19T09:29:28Z
dc.date.available 2016-05-19T09:29:28Z
dc.date.issued 2015-04-01
dc.identifier.issn 1822-8011
dc.identifier.uri http://hdl.handle.net/10251/64365
dc.description Copyright 2015, Mykolas Romeris University. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). es_ES
dc.description.abstract In any investment, an analysis of the expected return and the assumed risk constitutes a fundamental step. Investing in financial assets is no exception. Since the portfolio selection theory was proposed by Markowitz in 1952, this methodology has become the benchmark in portfolio management. However, it is not always possible to apply it, especially when investing in emerging financial markets, which are characterised by a scant variety of available stocks and very lowliquidity. In this paper, using the Colombian case, we will examine the challenges found by investors who want to create a portfolio using only stocks listed on a scarcely developed stock market. es_ES
dc.language Inglés es_ES
dc.publisher Mykolas Romeris University - Elsevier es_ES
dc.relation.ispartof Intellectual Economics es_ES
dc.rights Reconocimiento - No comercial - Sin obra derivada (by-nc-nd) es_ES
dc.subject Diversification es_ES
dc.subject Efficient frontier es_ES
dc.subject Mean-variance es_ES
dc.subject Profitability es_ES
dc.subject Risk. es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Mean-variance investment strategy applied in emerging financial markets: evidence from the Colombian stock market es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1016/j.intele.2015.09.003
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation García García, F.; Gonzalez Bueno, JA.; Oliver Muncharaz, J. (2015). Mean-variance investment strategy applied in emerging financial markets: evidence from the Colombian stock market. Intellectual Economics. 9(1):22-29. doi:10.1016/j.intele.2015.09.003 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1016/j.intele.2015.09.003 es_ES
dc.description.upvformatpinicio 22 es_ES
dc.description.upvformatpfin 29 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 9 es_ES
dc.description.issue 1 es_ES
dc.relation.senia 299222 es_ES
dc.description.references Barak, S., & Modarres, M. (2015). Developing an approach to evaluate stocks by forecasting effective features with data mining methods. Expert Systems with Applications, 42(3), 1325-1339. doi:10.1016/j.eswa.2014.09.026 es_ES
dc.description.references Becker, F., Gürtler, M., & Hibbeln, M. (2013). Markowitz versus Michaud: portfolio optimization strategies reconsidered. The European Journal of Finance, 21(4), 269-291. doi:10.1080/1351847x.2013.830138 es_ES
dc.description.references Belghitar, Y., Clark, E., & Deshmukh, N. (2014). Does it pay to be ethical? Evidence from the FTSE4Good. Journal of Banking & Finance, 47, 54-62. doi:10.1016/j.jbankfin.2014.06.027 es_ES
dc.description.references Chen, C., & Kwon, R. H. (2012). Robust portfolio selection for index tracking. Computers & Operations Research, 39(4), 829-837. doi:10.1016/j.cor.2010.08.019 es_ES
dc.description.references Edirisinghe, N. C. P. (2013). Index-tracking optimal portfolio selection. Quantitative Finance Letters, 1(1), 16-20. doi:10.1080/21649502.2013.803789 es_ES
dc.description.references García, F., Guijarro, F., & Moya, I. (2011). The curvature of the tracking frontier: A new criterion for the partial index tracking problem. Mathematical and Computer Modelling, 54(7-8), 1781-1784. doi:10.1016/j.mcm.2011.02.015 es_ES
dc.description.references García, F., Guijarro, F., & Moya, I. (2013). A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX. Journal of Business Economics and Management, 14(4), 758-775. doi:10.3846/16111699.2012.668859 es_ES
dc.description.references Hsu, C.-M. (2014). A hybrid SVR-PSO portfolio optimization procedure for multi-period stock investments. Computational Intelligence and Industrial Engineering. doi:10.2495/ciie140231 es_ES
dc.description.references Jablonskienė, D. (2013). Influence of Pension Funds and Life Insurance on Old-Age Pension. Intellectual Economics, 7(3), 375-388. doi:10.13165/ie-13-7-3-08 es_ES
dc.description.references Jacobs, H., Müller, S., & Weber, M. (2014). How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. Journal of Financial Markets, 19, 62-85. doi:10.1016/j.finmar.2013.07.004 es_ES
dc.description.references Loukeris, N., & Eleftheriadis, I. (2015). Support Vector Machines Networks to Hybrid Neuro-Genetic SVMs in Portfolio Selection. Intelligent Information Management, 07(03), 123-129. doi:10.4236/iim.2015.73011 es_ES
dc.description.references Nazemi, A., Abbasi, B., & Omidi, F. (2014). Solving portfolio selection models with uncertain returns using an artificial neural network scheme. Applied Intelligence, 42(4), 609-621. doi:10.1007/s10489-014-0616-z es_ES
dc.description.references Xia, H., Min, X., & Deng, S. (2015). Effectiveness of earnings forecasts in efficient global portfolio construction. International Journal of Forecasting, 31(2), 568-574. doi:10.1016/j.ijforecast.2014.10.004 es_ES


Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem