La selección de portafolios y la frontera eficiente: el caso de la Bolsa de Medellín, 1990-1992
DOI:
https://doi.org/10.17533/udea.le.n39a5079Abstract
Este trabajo busca: brindar un mejor conocimiento de las opciones de rentabilidad y riesgo brindadas por las 32 acciones que componen el Índice de la Bolsa de Medellín (IBOMED), para el período 1990-1992, y establecer los principales cambios que han presentado estas opciones durante la década al compararlas con las del período 1979-1981. Una vez planteado el problema de portafolios para inversionistas con funciones de utilidad esperada definidas en sus dos primeros momentos centrales, se resuelve el problema cuadrático que el mismo genera para encontrar las fronteras de portafolios eficientes con base en las acciones que componen IBOMED.
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