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https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230371Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Aldana-Martínez, Nelson | - |
| dc.date | 2022-12-14 | - |
| dc.date.accessioned | 2023-03-27T17:38:32Z | - |
| dc.date.available | 2023-03-27T17:38:32Z | - |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8488 | - |
| dc.identifier | 10.18601/17941113.n21.03 | - |
| dc.identifier.uri | https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230371 | - |
| dc.description | Globally is now more passive investing than ever. Bearing on mind that it is important to set up a scenario where an investor does not have to buy the entire index for this purpose. By searching stable assets respecting to their index, throw the rolling beta calculation, to find the fewer stocks to reach this purpose. On the other hand, use the dimensionality reduction technique, Sparse principal components analysis, helped to find a set of assets that also serve to this. To look for them, three experiments were tested, the first one optimizing with the training data to find the weights, weighting in the same way and weighting according to the calculation of the index, with baskets of 200, 100, 50 and 25 assets. | en-US |
| dc.description | En un mundo que cada vez es más propenso a la inversión pasiva, es importante plantear un escenario en el que no se tenga que comprar todo el índice bursátil para este propósito. A través del cálculo de las betas móviles respecto al índice de los activos estables se busca hallar portafolios con menos acciones que todo el índice, en este caso el Standard and Poor’s 500. En contraste, haciendo uso de la técnica de reducción de dimensionalidad “análisis de componentes principales Sparse”, se busca encontrar conjuntos de activos que también cumplan este propósito. Para esto se ponen a prueba tres experimentos: 1) optimizar con la data de entrenamiento para encontrar los pesos de cada uno; 2) ponderar de igual manera y 3) ponderar de acuerdo con el cálculo del índice, con bolsas de 200, 100, 50 y 25 activos elegibles. | es-ES |
| dc.format | application/pdf | - |
| dc.language | spa | - |
| dc.publisher | Universidad Externado de Colombia | es-ES |
| dc.relation | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8488/13076 | - |
| dc.relation | /*ref*/Aldana-Martínez, N. (2021). Comparison of dimensionality reduction techniques of spx500: An approach to indexing [Tesis de maestría, Universidad de los Andes]. http://hdl.handle.net/1992/55768 | - |
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| dc.relation | /*ref*/Gârleanu, N. y Pedersen, L. H. (2021). Active and passive investing: Understanding Samuelson’s Dictum. The Review of Asset Pricing Studies, 12, 389-446. | - |
| dc.relation | /*ref*/Guerra-Urzola, R., van Deun, K., Vera, J. C. y Sijtsma, K. (2021). A guide for Sparse pca: Model comparison and applications. Psychometrika, 86(4), 893-919. | - |
| dc.relation | /*ref*/Jenatton, R., Obozinski, G. y Bach, F. (2009). Structured Sparse Principal Component Analysis. http://arxiv.org/abs/0909.1440 | - |
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| dc.relation | /*ref*/Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and po¬tential testability of the theory. Journal of Financial Economics, 4(2), 129-176. | - |
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| dc.rights | Derechos de autor 2022 Nelson Aldana-Martínez | es-ES |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | es-ES |
| dc.source | Odeon; No. 21 (2021): Julio-Diciembre; 25-54 | en-US |
| dc.source | Revista ODEON; Núm. 21 (2021): Julio-Diciembre; 25-54 | es-ES |
| dc.source | 2346-2140 | - |
| dc.source | 1794-1113 | - |
| dc.subject | Data analysis; | en-US |
| dc.subject | investment portfolios; | en-US |
| dc.subject | indexing; | en-US |
| dc.subject | passive investment | en-US |
| dc.subject | análisis de datos; | es-ES |
| dc.subject | portafolios de inversión; | es-ES |
| dc.subject | indexación; | es-ES |
| dc.subject | inversión pasiva | es-ES |
| dc.title | Comparison between capm and Principal Components Analysis Sparse as an indexing tool | en-US |
| dc.title | Comparación entre el CAPM y el análisis de componentes principales Sparse como herramientas para la indexación | es-ES |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| Aparece en las colecciones: | Centro de Investigaciones y Proyectos Especiales - CIPE/UEXTERNADO - Cosecha | |
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