Diseño de un portafolio de inversión de renta variable con instrumentos financieros colombianos bajo la metodología de cartera eficiente de Harry Markowitz

Abstract

This work aims to design an equity investment portfolio with Colombian financial instruments under the methodology of efficient portfolio of Harry Markowitz. This theory is based on the first approach of mathematics and statistics to efficient portfolio management and its central idea is that by diversifying, the risk can be reduced without changing the expected yield; In other words you can maximize the yield on investment by diversifying the risk the most efficient way possible. The methodology used for the development of this work is: As a first instance, we will develop the theoretical work which contains mathematical formulas that are required to apply the theory of average variance of Markowitz and be able with this to find efficient frontier of portfolio investment. As a second step, expose the overall objective and specific objectives of the work as well as the scope of the same. As a third point, identify the basic elements that an investment must have, profile risk and types of risks existing in the market, we will define on a general matter “what is Colombian equity market? Types of Financial instruments that compose it, name and mnemonic of the shares that are traded currently managing to obtain an identification of the instruments that are traded in the Colombian market. Following this we will proceed to select (10) financial equities of the market which will be part of the investment portfolio. As a fourth measure, recollect the historical data of the last 5 years (from March 31, 2009 until February 28, 2014) in order to find the average yield, average volatility, correlation coefficient and variance actions, obtaining the necessary variables to implement average variance methodology described in the theory in three scenarios concerning short-term (12 months), medium term (36 months) and long term (60 months) obtaining the efficient front of these variables. As a fifth step, verify that the efficient frontier of the 3 scenarios will meet the objective that has every portfolio manager that is to overcome the benchmark, in this case the COLCAP; and finally end with three conclusions about the findings of the application of the methodology proposed by Harry Markowitz.