665 research outputs found
Análisis de rentabilidad y riesgo de un portafolio de inversión, aplicando el modelo de Harry Markowitz
No full textTrabajo de investigaciónAnalizar el rendimiento y riesgo de un portafolio de inversion, compuesto por los activos financieros que se negocian en la Bolsa Valores de Colombia, para un período de cinco años. Aplicando el Modelo desarrollado por Harry Markowitz, que busca la conformación de portafolios y diversificación de inversiones, que permitan obtener al inversionista la máxima rentabilidad controlando el riesgo.EspecializaciónEspecialista en Análisis y Administración FinancieraResumen
Palabras Clave
Abstract
Keywords
Planteamiento del problema
Justificación
Objetivos del Trabajo
Planteamiento de la Hipótesis Marco Teórico
Marco Metodológico
Procedimiento
Resultados
Aspectos Finales
Glosario
Referencia
The Theory and Practice of Rational Investing : Risk-Return Analysis
No full textThe two most important words Harry Markowitz ever wrote are "portfolio selection." In 1952, when everyone in the stock market was looking for the next hot stock, as a doctoral candidate, he proposed to look at many, diverse stocks--a portfolio. He laid the first cornerstone of Modern Portfolio Theory and defended the idea that strategic asset growth means factoring in the risk of an investment. More than 60 years later, the father of modern finance revisits his original masterpiece, describes how his theory has developed, and proves the vitality of his risk-return analysis in the current global economy.
Risk-Return Analysis opens the door to a groundbreaking four-book series giving readers a privileged look at the personal reflections and current strategies of a luminary in finance. This first volume is Markowitz\u27s response to what he calls the "Great Confusion" that spread when investors lost faith in the diversification benefits of MPT during the financial crisis of 2008. It demonstrates why MPT never became ineffective during the crisis, and how you can continue to reap the rewards of managed diversification into the future. Economists and financial advisors will benefit from the potent balance of theory and hard data on mean-variance analysis aimed at improving decision-making skills. Written for the academic and the practitioner with some math skills (mostly high school algebra), this richly illustrated guide arms you with:
Concrete steps to accurately select and apply the right risk measures in a given circumstance
Rare surveys of a half-century of literature covering the applicability of MPT
Empirical data showing mean and riskmeasure used to maximize return in the long term
PRAISE FOR RISK-RETURN ANALYSIS
"Harry Markowitz invented portfolio analysis and presented the theory in his famous 1952 article and 1959 book. Nobody has greater insight into the process than Harry. No academic or practitioner can truly claim to understand portfolio analysis unless they have read this volume." -- Martin J. Gruber, Professor Emeritus and Scholar in Residence, Stern School of Business, New York University
"Surveying the vast literature inspired by [Markowitz\u27s] own 1959 book has stimulated an outpouring of ideas. He builds on the strengths and limitations of the important papers in order to come up with a position that should silence a lot of critics." -- Jack Treynor, President, Treynor Capital Management
"The authors do not overlook various criticisms of the MPT, but rather address them convincingly. This excellent book is an essential reference for academics and practitioners alike." -- Haim Levy, Miles Robinson Professor of Finance, Hebrew University, Jerusalem, Israel
"Markowitz’s groundbreaking publications on Portfolio Selection prescribe a methodology that a rational decision-maker can follow to optimize his investment portfolio in a risky world. . . . This challenging new book clarifies many common misconceptions about modern portfolio theory." -- Roger C. Gibson, author of Asset Allocation and Chief Investment Officer, Gibson Capital, LLC
"Contain[s] great wisdom that every economist, portfolio manager, and investor should savor page by page." -- Andrew W. Lo, Charles E. and Susan T. Harris Professor and Director, Laboratory for Financial Engineering, MIT Sloan School of Management
"[Markowitz\u27s] monumental work in the 1950s would be sufficient to qualify as a lifetime achievement for most mortals, but he keeps spouting fresh insights like lightning flashes year after year, and penetrating ever deeper into the theory, mathematics, and practice of investing." -- Martin Leibowitz, Managing Director, Global Research Strategy, Morgan Stanley
"Risk–Return Analysis is a wonderful work in progress by a remarkable scholar who always has time to read what matters, who has the deepest appreciation of scientific achievement, and who has the highest aspirations for the future." -- Enterprising Investor (CFA Institute
Advances in portfolio selection and asset pricing in honor of Harry Markowitz
No full textThis paper introduces the Special Issue of The European Journal of Finance that seeks to honor the seminal contributions of Harry Markowitz to modern portfolio theory. Reflecting the fact that Markowitz’s work is particularly influential, the articles in this special issue tackle a wide range of research questions. In summarizing these articles, we group them into three broad topics: (1) estimation of optimal portfolios; (2) portfolio selection beyond the mean–variance model; and (3) asset pricing implications of equilibrium models of portfolio selection. We also provide a brief discussion of possible directions for future research
Portfolio Analysis with the Markowitz Model
No full textInvestment counseling and decision making criteria have undergone drastic changes the past two decades--largely due to Harry M. Markowitz. Radical theories of portfolio management have been developed by Markowitz, gaining increased acceptance since their introduction in 1952. Prior to this time rather naive concepts persisted on how to manage a firm\u27s investment portfolio. The investment sector of the financial world was highly dependent upon chartists and technical analysts for input on how to manage portfolios. The dominant philosophy of portfolio management prior to 1952 can be summarized as follows. Emphasis was placed upon the evaluation of individual securities. How securities would perform when combined with one another was not considered. An investment manager looked only at an individual security\u27s potential and past returns and virtually neglected any factor of risk the firm might be exposed to. Evaluation was on securities individually, not on securities together in a portfolio
Autobiography
No full textI was born in Chicago in 1927, the only child of Morris and Mildred Markowitz who owned a small grocery store. We lived in a nice apartment, always had enough to eat, and I had my own room. I never was aware of the Great Depression.Finance;
Application of the Markowitz theory in the structuring of investment portfolios for the Colombian stock market
No full textEl presente documento pretende en primera instancia realizar una exploración teórica del modelo propuesto por Harry Markowitz (1952), con el análisis de los supuestos, su aplicación teórica y práctica, así como la aplicación al mercado colombiano en la estructuración de portafolios de inversión con acciones del Índice COLCAP. Inicia con una introducción sobre las inversiones y los perfiles de riesgo, los fundamentos teóricos de la teoría de Markowitz como la distribución de
rendimientos, el riesgo asociado, la selección racional del inversionista y las curvas de indiferencia, la frontera eficiente, y uno de los aportes más destacados en la selección de activos para el portafolio como es la diversificación. Finalmente, se realiza la aplicación de la teoría al mercado colombiano para obtener los portafolios de la línea de frontera eficiente.This document intends in the first instance to carry out a theoretical exploration of the model proposed by Harry Markowitz (1952), with the analysis of the assumptions, its theoretical and practical application, as well as the application to the Colombian market in the structuring of investment portfolios with shares. of the COLCAP Index. It begins with an introduction to investments and risk profiles, the theoretical foundations of Markowitz's theory such as the distribution of
yields, the associated risk, the rational selection of the investor and the indifference curves, the efficient frontier, and one of the most outstanding contributions in the selection of assets for the portfolio, such as diversification. Finally, the application of the theory to the Colombian market is carried out to obtain the portfolios of the efficient frontier line
Minimização do risco em carteira: aplicação da moderna teoria do portfólio
No full textTCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.O elevado nível de oscilação no preço dos ativos no mercado acionário, ocasionado por expectativas dos agentes econômicos resulta em alto risco para os investidores, uma vez que tal comportamento torna-se imprevisível na presença de choques econômicos. Nesse sentido, os investidores procuram ao máximo inibir o componente aleatório dos preços dos ativos financeiros, por meio de um processo de diversificação de ativos. Dentre as metodologias existentes para a minimização do risco estão a de Markowitz e Sharpe. A metodologia de Markowitz é caracterizada pela otimização do trade-off entre risco e retorno, e permite delinear uma fronteira eficiente de portfólios, no qual se identifica as melhores composições de ativos para cada nível de risco assumido. Enquanto isso, o método de Sharpe, mais conhecido como CAPM, complementa a base da teoria moderna do portfólio. Dessa forma, o objetivo do presente estudo é utilizar uma metodologia de otimização de portfólio capaz de minimizar o risco e identificar seu maior retorno médio para cada nível de risco assumido. A partir da inclusão de um ativo livre de risco à fronteira eficiente de Markowitz, é possível determinar seu retorno exigido para os ativos. Conclui-se que a aplicação dos métodos à um caso real, por meio da utilização do software MatLab, apresentou-se eficaz, uma vez que foi possível identificar a minimização do risco mediante o procedimento de diversificação de ativos e a composição ideal para o alcance do ponto máximo do índice Sharpe
- …
