المؤلفون: Zapata Quimbayo, Carlos Andres, Garcia Gaona, Robinson Alexander

المصدر: Revista Mexicana de Economía y Finanzas Nueva Época REMEF; Vol. 20, Núm. 1: Enero - Marzo 2025; e978 ; 2448-6795

مصطلحات موضوعية: Economisc, Econometrics, Finance, optimal portfolio, risk parity, diversification, C61, D81, G11, Finanzas, Economía Financiera, portafolio óptimo, paridad de riesgo, diversificación

وصف الملف: application/pdf

Relation: https://www.remef.org.mx/index.php/remef/article/view/978/973; https://www.remef.org.mx/index.php/remef/article/view/978

الاتاحة: https://www.remef.org.mx/index.php/remef/article/view/978
https://doi.org/10.21919/remef.v20i1.978

المؤلفون: Zapata Quimbayo, Carlos Andres, Garcia Gaona, Robinson Alexander

المصدر: Revista Mexicana de Economía y Finanzas (REMEF): nueva época, ISSN 1665-5346, Vol. 20, Nº. 1, 2025

مصطلحات موضوعية: portafolio óptimo, paridad de riesgo, diversificación, optimal portfolio, risk parity, diversification

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المؤلفون: Yuly Andrea Franco Gómez, John Freddy Moreno Trujillo, Carlos Andres Zapata Quimbayo

المصدر: Lecturas de Economía, Iss 97, Pp 369-393 (2022)

مصطلحات موضوعية: portafolio óptimo, modelo black-litterman, lógica difusa, Economic history and conditions, HC10-1085, Economics as a science, HB71-74

وصف الملف: electronic resource

Relation: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171; https://doaj.org/toc/0120-2596; https://doaj.org/toc/2323-0622

URL الوصول: https://doaj.org/article/1f5e0f4ffa244b2ead74b3a52382f818

المؤلفون: Carmona Espejo, Diego Felipe, Gamboa Hidalgo, Jhonatan

المصدر: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8490.

مصطلحات موضوعية: Optimal portfolio, Bayesian methods, robust optimization, portafolio óptimo, métodos bayesianos, optimización robusta

وصف الملف: application/pdf; text/html

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/download/8490/13487; https://revistas.uexternado.edu.co/index.php/odeon/article/download/8490/13488; Núm. 21 , Año 2021 : Julio-Diciembre; 104; 21; 81; ODEON; Avramov, D. y Zhou, G. (2010). Bayesian portfolio analysis. Annual Review of Financial Economics, 2(1), 25-47. https://faculty.runi.ac.il/davramov/paper10.pdf; Bade, A., Frahm, G. y Jaekel, U. (2009). A general approach to Bayesian portfolio optimization. Mathematical Methods of Operations Research, 70(2), 337-356. https://doi.org/10.1007/s00186-008-0271-4; Best, M. y Grauer, R. (1991). Sensitivity analysis for mean-variance portfolio problems. Management Science, 37(8), 980-989. https://doi.org/10.1287/mnsc.37.8.980; Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28; Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimi¬zation and management. John Wiley & Sons.; Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. https://doi.org/10.1016/0304- 405X(93)90023-5; Garlappi, L., Uppal, R. y Wang, T. (2007). Portfolio selection with parameter and mo¬del uncertainty: A multi-prior approach. The Review of Financial Studies, 20(1), 41-81. https://doi.org/10.1093/rfs/hhl003; Georgantas, A. (2020). Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. Working paper. https://arxiv.org/ abs/2010.13397; Goldfarb, D. e Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38. https://doi.org/10.1287/moor.28.1.1.14260; Halldórsson, B. y Tütüncü, R. H. (2003). An interior-point method for a class of saddle-point problems. Journal of Optimization Theory and Applications, 116(3), 559-590. https://doi.org/10.1023/A:1023065319772; Kim, W. C., Kim, J. H., Ahn, S. H. y Fabozzi, F. J. (2013). What do robust equity port¬folio models really do? Annals of Operations Research, 205(1), 141-168. https:// doi.org/10.1007/s10479-012-1247-6; Kim, W. C., Kim, J. H. y Fabozzi, F. J. (2015). Robust Equity Portfolio Management: Formulations, Implementations, and Properties Using MATLAB. John Wiley & Sons.; Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfo¬lio performance. Annals of Operations Research, 266(1), 293-312. https://doi. org/10.1007/s10479-017-2739-1; Lobo, M. S., Vandenberghe, L., Boyd, S. y Lebret, H. (1998). Applications of second-order cone programming. Linear Algebra and its Applications, 284(1-3), 193-228. https://doi.org/10.1016/S0024-3795(98)10032-0; Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.; Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New Heaven: Yale university Press.; Meucci, A. (2005). Risk and asset allocation (vol. 1). Springer.; Meucci, A. (2011). Robust Bayesian Allocation. ssrn Working paper 681553. https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=681553; Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Oxford University Press.; Michaud, R. y Michaud, R. (2008). Estimation error and portfolio optimization: A resampling solution. Journal of Investment Management, 6(1), 8-28.; Nesterov, Y. y Nemirovsky, A. (1993). Interior Point Polynomial Methods in Convex Programming: Theory and Algorithms. SIAM.; Pachamanova, D. y Fabozzi, F. (2012). Equity portfolio selection models in practice. En-cyclopedia of Financial Models, 1(1), 61-87. https://doi.org/10.1002/9781118182635. efm0046; Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1), 157-187. https://doi.org/10.1023/b:anor.0000045281.41041.ed; Williams, J. (1938). The Theory of Investment Value. Harvard University Press.; Zapata, C. (2021). Optimización robusta de portafolios: conjuntos de incertidumbre y contrapartes robustas. odeon, 20, 93-121. https://doi.org/10.18601/17941113.n20.04; https://bdigital.uexternado.edu.co/handle/001/15345; https://doi.org/10.18601/17941113.n21.05

الاتاحة: https://bdigital.uexternado.edu.co/handle/001/15345
https://doi.org/10.18601/17941113.n21.05

المؤلفون: Aragón Urrego, Daniel

المصدر: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8491.

مصطلحات موضوعية: Optimal portfolio, risk parity, clustering, portafolio óptimo, paridad de riesgo

وصف الملف: application/pdf; text/html

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/download/8491/13489; https://revistas.uexternado.edu.co/index.php/odeon/article/download/8491/13490; Núm. 21 , Año 2021 : Julio-Diciembre; 124; 21; 105; ODEON; Bechis, L. (2020). Machine learning portfolio optimization: Hierarchical risk parity and modern portfolio theory (Tesis de maestría). Libera Università Internazionale degli Studi Sociali Guido Carli. http://tesi.luiss.it/28022/1/709261_bechis _ luca.pdf; Bailey, D. y López de Prado, M. (2012). The Sharpe coefficient efficient frontier. Journal of Risk, 15(2): 3-44. https://doi.org/10.21314/jor.2012.255; Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28; Clarke, R., De Silva, H. y Thorley, S. (2002). Portfolio constraints and the fundamental law of active management. Financial Analysts Journal, 58: 48-66. https://doi. org/10.2469/faj.v58.n5.2468; Ledoit, O. y Wolf, M. (2004). A well-conditioned estimator for large-dimensional co-variance matrices. Journal of Multivariate Analysis, 88(2), 365-411. https://doi. org/10.1016/S0047-259X(03)00096-4; León, D., Aragón, A., Sandoval, J., Hernández, G., Arévalo, A. y Niño, J. (2017). Clus-tering algorithms for risk-adjusted portfolio construction. Procedia Computer Science, 108, 1334-1343. https://doi.org/10.1016/j.procs.2017.05.185; López de Prado, M. (2016). Building diversified portfolios that outperform out of sam¬ple. The Journal of Portfolio Management, 42(4), 59-69. https://doi.org/10.3905/ jpm.2016.42.4.059; López de Prado, M. (2018). Advances in financial machine learning. John Wiley & Sons.; López de Prado, M. (2020). Machine learning for asset managers. Cambridge Uni¬versity Press.; Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-91.; Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.; Mercader, M. (2021). Hierarchical Risk Parity: portfolio optimization. Mathema¬tics and Physics Engineering Final Project. Universitat Politécnica de Ca¬talunya. https://upcommons.upc.edu/bitstream/handle/2117/350200/tfg.pdf?sequence=1&isAllowed=y; Michaud, R. O. y Michaud, R. (2007). Estimation error and portfolio optimization: A Resampling Solution. Working paper. https://papers.ssrn.com/sol3/papers.cfm? abstract_id=2658657; Raffinot, T. (2018). The hierarchical equal risk contribution portfolio. Working paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3237540.; Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x; Tatsat, H., Puri, S. y Lookabaugh, B. (2020). Machine Learning and Data Science Blueprints for Finance. O’Reilly Media.; Vyas, A. (2019). The hierarchical risk parity algorithm: An introduction. Hudson and Thames Quantitative Research. Working paper. https://hudsonthames.org/?avia_ forced_reroute=1; https://bdigital.uexternado.edu.co/handle/001/15346; https://doi.org/10.18601/17941113.n21.06

الاتاحة: https://bdigital.uexternado.edu.co/handle/001/15346
https://doi.org/10.18601/17941113.n21.06

المؤلفون: Zapata Q., Carlos Andrés

المصدر: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489.

مصطلحات موضوعية: optimal portfolio, ESG criteria, socially responsible investment, portafolio óptimo, criterios ASG, inversión socialmente responsable

وصف الملف: application/pdf; text/html

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13485; https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13486; Núm. 21 , Año 2021 : Julio-Diciembre; 79; 21; 55; ODEON; Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf; Alessandrini, F. y Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138. https://doi.org/10.3905/jpm.2021.1.241; Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Ope¬rational Research, 216(2), 487-494. https://doi.org/10.1016/j.ejor.2011.07.011; Bender, J., He, C., Ooi, C., y Sun, X. (2020). Reducing the Carbon Intensity of Low Volatility Portfolios. Journal of Portfolio Management, 46(3), 108-22. https://doi. org/10.3905/jpm.2020.46.3.108; Branch, M., Goldberg, L. y Hand, P. (2019). A guide to ESG portfolio construction. The Journal of Portfolio Management, 45(4), 61-66. https://doi.org/10.3905/ jpm.2019.45.4.061; Caballero, A., Garcia, A., Salcedo, J. y Vercher, M. (2020). Tri-criterion model for cons-tructing low-carbon mutual fund portfolios: A preference-based multi-objective genetic algorithm approach. International Journal of Environmental Research and Public Health, 17(17), 6324. https://doi.org/10.3390/ijerph17176324; Calvo, C., Ivorra, C. y Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63. https:// doi.org/10.1016/j.irfa.2015.03.014; Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance port¬folio profitability? Sustainability, 14(4), 2050. https://doi.org/10.3390/su14042050; Chen, L., Zhang, L., Huang, J., Xiao, H. y Zhou, Z. (2021). Social responsibility port¬folio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75-85. https://doi.org/10.1016/j.jmse.2021.02.005; Coqueret, G. (2022). Perspectives in sustainable equity investing. CRC Press.; De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S. y Schoutens, W. (2021). esg: A new dimension in portfolio allocation. Journal of Sustainable Finance & In¬vestment, 1-41. https://doi.org/10.1080/20430795.2021.1923336; Fabozzi, F., Kolm, P., Pachamanova, D. y Focardi, S. (2007). Robust Portfolio Opti¬mization and Management. John Wiley & Sons.; Francis, C. J. y Kim, D. (2013). Modern Portfolio Theory: Foundation, Analysis, and New Developments. Wiley Finance.; Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181- 1190. https://doi.org/10.1016/j.ejor.2016.10.043; Gil-Bazo, J., Ruiz-Verdú, P. y Santos, A. A. (2010). The performance of socially res-ponsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263. https://doi.org/10.1007/s10551-009-0260-4; Hartzmark, S. M. y Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. https://doi.org/10.1111/jofi.12841; Henke, H. M. (2016). The effect of social screening on bond mutual fund perfor¬mance. Journal of Banking & Finance, 67(1), 69-84. https://doi.org/10.1016/j. jbankfin.2016.01.010; Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating esg in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi. org/10.3905/jpm.2019.45.4.067; Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140; Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 Years of portfolio optimization: Prac¬tical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060; Lagerkvist, C. J., Edenbrandt, A. K., Tibbelin, I. y Wahlstedt, Y. (2020). Preferences for sustainable and responsible equity funds-A choice experiment with Swedish private investors. Journal of Behavioral and Experimental Finance, 28(1), 100406. https://doi.org/10.1016/j.jbef.2020.100406; Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.; Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.; Naffa, H. y Fain, M. (2022). A factor approach to the performance of esg leaders and laggards. Finance Research Letters, 44(1), 102073. https://doi.org/10.1016/j. frl.2021.102073; Nofsinger, J. y Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48(1), 180-193. https://doi.org/10.1016/j.jbankfin.2013.12.016; Ortas, E., Moneva, J. M., Burritt, R. y Tingey-Holyoak, J. (2014). Does sustainability investment provide adaptive resilience to ethical investors? Evidence from Spain. Journal of Business Ethics, 124(2), 297-309. https://doi.org/10.1007/s10551-013- 1873-1; Pedersen, L. H., Fitzgibbons, S. y Pomorski, L. (2021). Responsible investing: The esg-efficient frontier. Journal of Financial Economics, 142(2), 572-597. https:// doi.org/10.1016/j.jfineco.2020.11.001; Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x; Utz, S., Wimmer, M., Hirschberger, M., y Steuer, R. (2014). Tri-criterion inverse port¬folio optimization with application to socially responsible mutual funds. Euro¬pean Journal of Operational Research, 234(2), 491-498. https://doi.org/10.1016/j. ejor.2013.07.024; https://bdigital.uexternado.edu.co/handle/001/15344; https://doi.org/10.18601/17941113.n21.04

الاتاحة: https://bdigital.uexternado.edu.co/handle/001/15344
https://doi.org/10.18601/17941113.n21.04

المؤلفون: Zapata Quimbayo, Carlos Andrés

المصدر: https://revistas.uexternado.edu.co/index.php/odeon/article/view/7837.

مصطلحات موضوعية: optimal portfolio, robust optimization, uncertainty sets, portafolio óptimo, optimización robusta, conjuntos de incertidumbre

وصف الملف: application/pdf

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(1994). Performance measurement in a downside risk framework. Journal of Investing, 3(3), 59-64.; Treynor, J. (1965) How to rate management of investment funds. Harvard Business Review, 43, 63-75.; Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1-4), 157-187.; Xidonas, P., Steuer, R. y Hassapis, C. (2020). Robust portfolio optimization: A categorized bibliographic review. Annals of Operations Research, 292(1), 533-552.; Yin, C., Perchet, R. y Soupé, F. (2021). A practical guide to robust portfolio optimization. Quantitative Finance, 21(6), 911-928.; Zhu, S. y Fukushima, M. (2009). Worst-case conditional value-at-risk with application to robust portfolio management. Operations Research, 57(5), 1155-1168.; Zymler, S., Kuhn, D. y Rustem, B. (2013). Worst-case value at risk of nonlinear portfolios. Management Science, 59(1), 172-188.; https://bdigital.uexternado.edu.co/handle/001/7928; https://doi.org/10.18601/17941113.n20.04

الاتاحة: https://bdigital.uexternado.edu.co/handle/001/7928
https://doi.org/10.18601/17941113.n20.04

المؤلفون: Carmona Espejo, Diego Felipe, Gamboa Hidalgo, Jhonatan

المصدر: Odeon; No. 21 (2021): Julio-Diciembre; 81-104 ; Odeon; Núm. 21 (2021): Julio-Diciembre; 81-104 ; 2346-2140 ; 1794-1113

مصطلحات موضوعية: Optimal portfolio, Bayesian methods, robust optimization, portafolio óptimo, métodos bayesianos, optimización robusta

وصف الملف: application/pdf

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8490/13078; Avramov, D. y Zhou, G. (2010). Bayesian portfolio analysis. Annual Review of Financial Economics, 2(1), 25-47. https://faculty.runi.ac.il/davramov/paper10.pdf; Bade, A., Frahm, G. y Jaekel, U. (2009). A general approach to Bayesian portfolio optimization. Mathematical Methods of Operations Research, 70(2), 337-356. https://doi.org/10.1007/s00186-008-0271-4; Best, M. y Grauer, R. (1991). Sensitivity analysis for mean-variance portfolio problems. Management Science, 37(8), 980-989. https://doi.org/10.1287/mnsc.37.8.980; Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28; Fabozzi, F., Focardi, S., Kolm, P. y Pachamanova, D. (2007). Robust portfolio optimi¬zation and management. John Wiley & Sons.; Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. https://doi.org/10.1016/0304- 405X(93)90023-5; Garlappi, L., Uppal, R. y Wang, T. (2007). Portfolio selection with parameter and mo¬del uncertainty: A multi-prior approach. The Review of Financial Studies, 20(1), 41-81. https://doi.org/10.1093/rfs/hhl003; Georgantas, A. (2020). Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. Working paper. https://arxiv.org/ abs/2010.13397; Goldfarb, D. e Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38. https://doi.org/10.1287/moor.28.1.1.14260; Halldórsson, B. y Tütüncü, R. H. (2003). An interior-point method for a class of saddle-point problems. Journal of Optimization Theory and Applications, 116(3), 559-590. https://doi.org/10.1023/A:1023065319772; Kim, W. C., Kim, J. H., Ahn, S. H. y Fabozzi, F. J. (2013). What do robust equity port¬folio models really do? Annals of Operations Research, 205(1), 141-168. https:// doi.org/10.1007/s10479-012-1247-6; Kim, W. C., Kim, J. H. y Fabozzi, F. J. (2015). Robust Equity Portfolio Management: Formulations, Implementations, and Properties Using MATLAB. John Wiley & Sons.; Kim, J. H., Kim, W. C., Kwon, D. G. y Fabozzi, F. J. (2018). Robust equity portfo¬lio performance. Annals of Operations Research, 266(1), 293-312. https://doi. org/10.1007/s10479-017-2739-1; Lobo, M. S., Vandenberghe, L., Boyd, S. y Lebret, H. (1998). Applications of second-order cone programming. Linear Algebra and its Applications, 284(1-3), 193-228. https://doi.org/10.1016/S0024-3795(98)10032-0; Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.; Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New Heaven: Yale university Press.; Meucci, A. (2005). Risk and asset allocation (vol. 1). Springer.; Meucci, A. (2011). Robust Bayesian Allocation. ssrn Working paper 681553. https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=681553; Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Oxford University Press.; Michaud, R. y Michaud, R. (2008). Estimation error and portfolio optimization: A resampling solution. Journal of Investment Management, 6(1), 8-28.; Nesterov, Y. y Nemirovsky, A. (1993). Interior Point Polynomial Methods in Convex Programming: Theory and Algorithms. SIAM.; Pachamanova, D. y Fabozzi, F. (2012). Equity portfolio selection models in practice. En-cyclopedia of Financial Models, 1(1), 61-87. https://doi.org/10.1002/9781118182635. efm0046; Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1), 157-187. https://doi.org/10.1023/b:anor.0000045281.41041.ed; Williams, J. (1938). The Theory of Investment Value. Harvard University Press.; Zapata, C. (2021). Optimización robusta de portafolios: conjuntos de incertidumbre y contrapartes robustas. odeon, 20, 93-121. https://doi.org/10.18601/17941113.n20.04; https://revistas.uexternado.edu.co/index.php/odeon/article/view/8490

الاتاحة: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8490

المؤلفون: Aragón Urrego, Daniel

المصدر: Odeon; No. 21 (2021): Julio-Diciembre; 105-124 ; Odeon; Núm. 21 (2021): Julio-Diciembre; 105-124 ; 2346-2140 ; 1794-1113

مصطلحات موضوعية: Optimal portfolio, risk parity, clustering, portafolio óptimo, paridad de riesgo

وصف الملف: application/pdf

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8491/13079; Bechis, L. (2020). Machine learning portfolio optimization: Hierarchical risk parity and modern portfolio theory (Tesis de maestría). Libera Università Internazionale degli Studi Sociali Guido Carli. http://tesi.luiss.it/28022/1/709261_bechis _ luca.pdf; Bailey, D. y López de Prado, M. (2012). The Sharpe coefficient efficient frontier. Journal of Risk, 15(2): 3-44. https://doi.org/10.21314/jor.2012.255; Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43. https://doi.org/10.2469/faj.v48.n5.28; Clarke, R., De Silva, H. y Thorley, S. (2002). Portfolio constraints and the fundamental law of active management. Financial Analysts Journal, 58: 48-66. https://doi. org/10.2469/faj.v58.n5.2468; Ledoit, O. y Wolf, M. (2004). A well-conditioned estimator for large-dimensional co-variance matrices. Journal of Multivariate Analysis, 88(2), 365-411. https://doi. org/10.1016/S0047-259X(03)00096-4; León, D., Aragón, A., Sandoval, J., Hernández, G., Arévalo, A. y Niño, J. (2017). Clus-tering algorithms for risk-adjusted portfolio construction. Procedia Computer Science, 108, 1334-1343. https://doi.org/10.1016/j.procs.2017.05.185; López de Prado, M. (2016). Building diversified portfolios that outperform out of sam¬ple. The Journal of Portfolio Management, 42(4), 59-69. https://doi.org/10.3905/ jpm.2016.42.4.059; López de Prado, M. (2018). Advances in financial machine learning. John Wiley & Sons.; López de Prado, M. (2020). Machine learning for asset managers. Cambridge Uni¬versity Press.; Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-91.; Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.; Mercader, M. (2021). Hierarchical Risk Parity: portfolio optimization. Mathema¬tics and Physics Engineering Final Project. Universitat Politécnica de Ca¬talunya. https://upcommons.upc.edu/bitstream/handle/2117/350200/tfg.pdf?sequence=1&isAllowed=y; Michaud, R. O. y Michaud, R. (2007). Estimation error and portfolio optimization: A Resampling Solution. Working paper. https://papers.ssrn.com/sol3/papers.cfm? abstract_id=2658657; Raffinot, T. (2018). The hierarchical equal risk contribution portfolio. Working paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3237540.; Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x; Tatsat, H., Puri, S. y Lookabaugh, B. (2020). Machine Learning and Data Science Blueprints for Finance. O’Reilly Media.; Vyas, A. (2019). The hierarchical risk parity algorithm: An introduction. Hudson and Thames Quantitative Research. Working paper. https://hudsonthames.org/?avia_ forced_reroute=1; https://revistas.uexternado.edu.co/index.php/odeon/article/view/8491

الاتاحة: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8491

المؤلفون: Zapata Q., Carlos Andrés

المصدر: Odeon; No. 21 (2021): Julio-Diciembre; 55-79 ; Odeon; Núm. 21 (2021): Julio-Diciembre; 55-79 ; 2346-2140 ; 1794-1113

مصطلحات موضوعية: optimal portfolio, ESG criteria, socially responsible investment, portafolio óptimo, criterios ASG, inversión socialmente responsable

وصف الملف: application/pdf

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489/13077; Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf; Alessandrini, F. y Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138. https://doi.org/10.3905/jpm.2021.1.241; Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Ope¬rational Research, 216(2), 487-494. https://doi.org/10.1016/j.ejor.2011.07.011; Bender, J., He, C., Ooi, C., y Sun, X. (2020). Reducing the Carbon Intensity of Low Volatility Portfolios. Journal of Portfolio Management, 46(3), 108-22. https://doi. org/10.3905/jpm.2020.46.3.108; Branch, M., Goldberg, L. y Hand, P. (2019). A guide to ESG portfolio construction. The Journal of Portfolio Management, 45(4), 61-66. https://doi.org/10.3905/ jpm.2019.45.4.061; Caballero, A., Garcia, A., Salcedo, J. y Vercher, M. (2020). Tri-criterion model for cons-tructing low-carbon mutual fund portfolios: A preference-based multi-objective genetic algorithm approach. International Journal of Environmental Research and Public Health, 17(17), 6324. https://doi.org/10.3390/ijerph17176324; Calvo, C., Ivorra, C. y Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63. https:// doi.org/10.1016/j.irfa.2015.03.014; Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance port¬folio profitability? Sustainability, 14(4), 2050. https://doi.org/10.3390/su14042050; Chen, L., Zhang, L., Huang, J., Xiao, H. y Zhou, Z. (2021). Social responsibility port¬folio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75-85. https://doi.org/10.1016/j.jmse.2021.02.005; Coqueret, G. (2022). Perspectives in sustainable equity investing. CRC Press.; De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S. y Schoutens, W. (2021). esg: A new dimension in portfolio allocation. Journal of Sustainable Finance & In¬vestment, 1-41. https://doi.org/10.1080/20430795.2021.1923336; Fabozzi, F., Kolm, P., Pachamanova, D. y Focardi, S. (2007). Robust Portfolio Opti¬mization and Management. John Wiley & Sons.; Francis, C. J. y Kim, D. (2013). Modern Portfolio Theory: Foundation, Analysis, and New Developments. Wiley Finance.; Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181- 1190. https://doi.org/10.1016/j.ejor.2016.10.043; Gil-Bazo, J., Ruiz-Verdú, P. y Santos, A. A. (2010). The performance of socially res-ponsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263. https://doi.org/10.1007/s10551-009-0260-4; Hartzmark, S. M. y Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. https://doi.org/10.1111/jofi.12841; Henke, H. M. (2016). The effect of social screening on bond mutual fund perfor¬mance. Journal of Banking & Finance, 67(1), 69-84. https://doi.org/10.1016/j. jbankfin.2016.01.010; Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating esg in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi. org/10.3905/jpm.2019.45.4.067; Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140; Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 Years of portfolio optimization: Prac¬tical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060; Lagerkvist, C. J., Edenbrandt, A. K., Tibbelin, I. y Wahlstedt, Y. (2020). Preferences for sustainable and responsible equity funds-A choice experiment with Swedish private investors. Journal of Behavioral and Experimental Finance, 28(1), 100406. https://doi.org/10.1016/j.jbef.2020.100406; Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.; Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.; Naffa, H. y Fain, M. (2022). A factor approach to the performance of esg leaders and laggards. Finance Research Letters, 44(1), 102073. https://doi.org/10.1016/j. frl.2021.102073; Nofsinger, J. y Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48(1), 180-193. https://doi.org/10.1016/j.jbankfin.2013.12.016; Ortas, E., Moneva, J. M., Burritt, R. y Tingey-Holyoak, J. (2014). Does sustainability investment provide adaptive resilience to ethical investors? Evidence from Spain. Journal of Business Ethics, 124(2), 297-309. https://doi.org/10.1007/s10551-013- 1873-1; Pedersen, L. H., Fitzgibbons, S. y Pomorski, L. (2021). Responsible investing: The esg-efficient frontier. Journal of Financial Economics, 142(2), 572-597. https:// doi.org/10.1016/j.jfineco.2020.11.001; Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x; Utz, S., Wimmer, M., Hirschberger, M., y Steuer, R. (2014). Tri-criterion inverse port¬folio optimization with application to socially responsible mutual funds. Euro¬pean Journal of Operational Research, 234(2), 491-498. https://doi.org/10.1016/j. ejor.2013.07.024; https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489

الاتاحة: https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489

المؤلفون: Zapata Quimbayo, Carlos Andrés

المصدر: ODEON; Núm. 20 (2021): Enero-Junio; 93-121 ; 2346-2140 ; 1794-1113

مصطلحات موضوعية: optimal portfolio, robust optimization, uncertainty sets, portafolio óptimo, optimización robusta, conjuntos de incertidumbre

وصف الملف: application/pdf

Relation: https://revistas.uexternado.edu.co/index.php/odeon/article/view/7837/11404; Bandi, C. y Bertsimas, D. (2012). Tractable stochastic analysis in high dimensions via robust optimization. Mathematical programming, 134(1), 23-70.; Ben-Tal, A. y Nemirovski, A. (1998). Robust convex optimization. Mathematics of Operations Research, 23(4), 769-805.; Bertsimas, D., Darnell, C. y Soucy, R. (1999). Portfolio construction through mixedinteger programming at Grantham, Mayo, Van Otterloo and Company. Interfaces, 29(1), 49-66.; Bertsimas, D. y Brown, D. (2009). Constructing uncertainty sets for robust linear optimization. Operations Research, 57(6), 1483-1495.; Bertsimas, D., Brown, D. y Caramanis, C. (2011). Theory and applications of robust optimization. SIAM Review, 53(3), 464-501.; Best, M. y Grauer, R. (1991). On the sensitivity of mean variance efficient portfolios to changes in asset Means. The Review of Financial Studies, 4(2), 314-342.; Black, F. y Litterman, R. (1991). Global Asset Allocation with Equities, Bonds, and Currencies. Goldman, Sachs & Co Fixed Income Research, 1-44.; Black, F. y Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28-43.; Blog, B., Hoek, G., Kan, A. y Timmer, G. (1983). The optimal selection of small portfolios. Management Science, 29(7), 792-798.; Chopra, V. y Ziemba, W. (1993). The effects of errors in means, variances, and covariances on optimal portfolio choice. Journal of Portfolio Management, 19(2), 6-11.; Choueifaty, Y. y Coignard, Y. (2008). Toward maximum diversification. Journal of Portfolio Management, 35(1), 40-51.; El Ghaoui, L., Oustry, F. y Lebret, H. (1998). Robust solutions to uncertain semidefinite programs. SIAM Journal on Optimization, 9(1), 33-52.; El Ghaoui, L., Oks, M. y Oustry, F. (2003). Worst-case value-at-risk and robust portfolio optimization: A conic programming approach. Operations Research, 51(4), 543-556.; Elton, E., Gruber, M. y Padberg, M. (1976). Simple criteria for optimal portfolio selection. The Journal of Finance, 31(5), 1341-1357.; Fabozzi, F., Huang, D. y Zhou, G. (2010). Robust portfolios: Contributions from operations research and finance. Annals of Operations Research, 176(1), 191-220.; Fabozzi, F., Kolm, P., Pachamanova, D. A. y Focardi, S. (2007). Robust portfolio optimization and management. John Wiley & Sons.; Francis, J. y Kim, D. (2013). Modern Portfolio Theory: Foundations, Analysis, and New Developments. John Wiley & Sons.; Garlappi, L., Uppal, R. y Wang, T. (2007). Portfolio selection with parameter and model uncertainty: A multi-prior approach. Review of Financial Studies, 20(1), 41-81.; Georgantas, A., Doumpos, M. y Zopounidis, C. (2021). Robust optimization approaches for portfolio selection: a comparative analysis. Annals of Operations Research, 1-17.; Goldfarb, D. e Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1-38.; He, G. y Litterman, R. (1999). The intuition behind Black-Litterman model portfolios. Technical report, Goldman Sachs–Investment Management Research, 1-18.; Huang, D., Fabozzi, F. y Fukushima, M. (2007). Robust portfolio selection with uncertain exit time using worst-case VaR strategy. Operations Research Letters, 35, 627-635.; Idzorek, T. (2007). A step-by-step guide to the Black-Litterman model: Incorporating user-specified confidence levels (pp. 17-38). En S. Satchell (Ed.). Forecasting expected returns in the financial markets. Academic Press.; James, W. y Stein, C. (1961). Estimation with quadratic loss. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, 1, 361-380.; Kapsos, M., Christofides, N. y Rustem, B. (2014). Worst-case robust Omega ratio. European Journal of Operational Research, 234(2), 499-507.; Kara, G., Ozmen, A. y Weber, G. (2019). Stability advances in robust portfolio optimization under parallelepiped uncertainty. Central European Journal of Operations Research, 27(1), 241-261.; Keating, C. y Shadwick, W. (2002). A universal performance measure. Journal of Performance Measurement, 6(3), 59-84.; Kim, J., Kim, W. y Fabozzi, F. (2013). Recent developments in robust portfolios with a worst-case approach. Journal of Optimization Theory and Applications, 161(1), 103-121.; Kim, J., Kim, W., Kwon, D. y Fabozzi, F. (2018). Robust equity portfolio performance. Annals of Operations Research, 266(1-2), 293-312.; Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356-371.; Ledoit, O. y Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 10(5), 603-621.; Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. 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Journal of Investing, 3(3), 59-64.; Treynor, J. (1965) How to rate management of investment funds. Harvard Business Review, 43, 63-75.; Tütüncü, R. y Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1-4), 157-187.; Xidonas, P., Steuer, R. y Hassapis, C. (2020). Robust portfolio optimization: A categorized bibliographic review. Annals of Operations Research, 292(1), 533-552.; Yin, C., Perchet, R. y Soupé, F. (2021). A practical guide to robust portfolio optimization. Quantitative Finance, 21(6), 911-928.; Zhu, S. y Fukushima, M. (2009). Worst-case conditional value-at-risk with application to robust portfolio management. Operations Research, 57(5), 1155-1168.; Zymler, S., Kuhn, D. y Rustem, B. (2013). Worst-case value at risk of nonlinear portfolios. Management Science, 59(1), 172-188.; https://revistas.uexternado.edu.co/index.php/odeon/article/view/7837

الاتاحة: https://revistas.uexternado.edu.co/index.php/odeon/article/view/7837

المؤلفون: González Díez, Luis Alejandro

المساهمون: Cardona Llano, Juan Felipe

مصطلحات موضوعية: Criptoactivos, Portafolio óptimo, Alfa, MONEDA, RIESGO (FINANZAS), PORTAFOLIO DE INVERSIONES, SISTEMA FINANCIERO, Crypto-assets, Optimal portfolio, Alpha, Benchmark

جغرافية الموضوع: Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees

وصف الملف: application/pdf

Relation: http://hdl.handle.net/10784/31190; 332.4 G643

الاتاحة: http://hdl.handle.net/10784/31190

المؤلفون: Franco Gómez, Yuly Andrea, Moreno Trujillo, John Freddy, Zapata Quimbayo, Carlos Andres

المصدر: Lecturas de Economia; No. 97 (2022): July - December; 369-393 ; Lecturas de Economía; Núm. 97 (2022): Julio - Diciembre; 369-393 ; Lecturas de Economía; No. 97 (2022): juillet - décembre; 369-393 ; 2323-0622 ; 0120-2596

مصطلحات موضوعية: Portafolio óptimo, modelo Black-Litterman, lógica difusa, Modelo de Black-Litterman, Portafolio de inversiones, Bolsas de valores - Colombia, Economía, optimal portfolio, Black-Litterman model, fuzzy logic, Investments Portfolio, Economics, Stock exchanges - Colombia, portefeuille optimal, modèle Black-Litterman, logique floue, Logique diffuse, Portefeuille d'investissement, Économie, Bourse - Colombie

وصف الملف: application/pdf; text/xml; text/html

Relation: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171/20809095; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171/20811418; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171/20811419; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171

الاتاحة: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/346171

المؤلفون: Garduño-Ruiz, Genaro, García-Mejía, Juan Fernando, Granda-Gutierrez, Everardo Efrén, Martínez-Garduño, Yenit, Lizola-Margullis, Pedro Enrique, Laurent-Martínez, Laura Leticia

المصدر: Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; Vol 10 No Especial4 (2022): Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; 28-36 ; Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; Vol. 10 Núm. Especial4 (2022): Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; 28-36 ; 2007-6363 ; 10.29057/icbi.v10iEspecial4

مصطلحات موضوعية: Optimal Portfolio Theory, Artificial Immune System, Generalized Reduced Gradient, Genetic Algorithm, Teoría del portafolio optimo, Sistema Inmunológico Artificial, Gradiente Reducido Generalizado, Algoritmo Genético

وصف الملف: application/pdf

Relation: https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/9337/9382; https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/9337

الاتاحة: https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/9337
https://doi.org/10.29057/icbi.v10iEspecial4.9337

المؤلفون: José Antonio Climent Hernández, Gabino Sánchez Arzate, Ambrosio Ortiz Ramírez

المصدر: Revista Mexicana de Economía y Finanzas Nueva Época REMEF, Vol 16, Iss 4, Pp e533-e533 (2021)

مصطلحات موضوعية: portafolio óptimo, medida de riesgo, distribuciones α-estables, Public finance, K4430-4675, Finance, HG1-9999, Economics as a science, HB71-74

وصف الملف: electronic resource

Relation: https://www.remef.org.mx/index.php/remef/article/view/533; https://doaj.org/toc/2448-6795

URL الوصول: https://doaj.org/article/4701cb88ad774734abc67c3816da2fca

المؤلفون: Martínez-Sánchez, José Francisco, Cruz-García, Salvador, López-Castillo, Julissa Itzel

المصدر: Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; Vol 9 No 17 (2021): January - June; 132-135 ; Pädi Boletín Científico de Ciencias Básicas e Ingenierías del ICBI; Vol. 9 Núm. 17 (2021): Enero - Junio; 132-135 ; 2007-6363 ; 10.29057/icbi.v9i17

مصطلحات موضوعية: Markowitz theory, optimal portfolio, efficient frontier, Python, Jupyter Notebook, Teoría de Markowitz, portafolio óptimo, frontera eficiente

وصف الملف: application/pdf

Relation: https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/6807/8123; https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/6807

الاتاحة: https://repository.uaeh.edu.mx/revistas/index.php/icbi/article/view/6807
https://doi.org/10.29057/icbi.v9i17.6807

المؤلفون: Climent Hernández,José Antonio, Sánchez Arzate,Gabino, Ortiz Ramírez,Ambrosio

المصدر: Revista mexicana de economía y finanzas v.16 n.4 2021

مصطلحات موضوعية: Portafolio óptimo, medida de riesgo, distribuciones α-estables

وصف الملف: text/html

الاتاحة: http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S1665-53462021000400009

المؤلفون: Gómez Romero, Juan Manuel, Jiménez Moscoso, José Alfredo

المصدر: Lecturas de Economia; No. 92 (2020): January-June; 33-66 ; Lecturas de Economía; Núm. 92 (2020): Enero-Junio; 33-66 ; Lecturas de Economía; No. 92 (2020): Enero-Junio; 33-66 ; 2323-0622 ; 0120-2596

مصطلحات موضوعية: portfolio selection, Markov chain, principal component analysis, risk aversion, stock index, Optimal portfolio, Investments Portfolio, Mathematical models, Principal components analysis (PCA), Stock exchanges - Stock price indexes, Economics, Composición de portafolios, cadenas de Markov, componentes principales, índice bursátil, aversión al riesgo, Portafolio óptimo, Portafolio de inversiones, Cadena de Markov, Modelos matemáticos, Análisis de componentes principales (ACP), Bolsa de valores - Índices bursátiles, Economía, sélection de portefeuille, chaîne de Markov, analyse des composantes principales, aversion au risque, indice boursier, Portefeuille optimal, Portefeuille d'investissement

وصف الملف: application/pdf; text/xml; application/zip; text/html

Relation: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996/20795491; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996/20802169; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996/20802170; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996/20802168; https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996

الاتاحة: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/338996

المؤلفون: Carlos Andres Zapata Quimbayo

مصطلحات موضوعية: uncertainty sets, Applied Mathematics, General Mathematics, robust optimization, conjuntos de incertidumbre, portafolio óptimo, optimal portfolio, optimización robusta

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3b1517966b933d6886b5ef3d2740d43
https://bdigital.uexternado.edu.co/handle/001/7928

المؤلفون: Climent-Hernández,José Antonio

المصدر: Revista mexicana de economía y finanzas v.12 n.2 2017

مصطلحات موضوعية: Portafolio óptimo, Medida de riesgo, Distribuciones α-estables

وصف الملف: text/html

الاتاحة: http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S1665-53462017000200049