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| dc.creator | Carmona Espejo, Diego Felipe | |
| dc.creator | Gamboa Hidalgo, Jhonatan | |
| dc.date | 2022-12-14 | |
| dc.date.accessioned | 2023-03-27T17:38:33Z | |
| dc.date.available | 2023-03-27T17:38:33Z | |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8490 | |
| dc.identifier | 10.18601/17941113.n21.05 | |
| dc.identifier.uri | https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230373 | |
| dc.description | In this paper we implemented a Bayesian robust optimization model to select an optimal investment portfolio. To do that, we extended the model developed by Meucci, which consists of incorporating the Bayesian approach into the robust portfolio model in order to define an ellipsoidal-type uncertainty set under an Inverse Wishart Distribution. Thus, the uncertainty of the estimated parameters for create the robust counterpart in the portfolio model. The proposed model uses a Gamma distribution function, as a generalization of the Wishart function. Results confirm Meucci’s conclusions and, it corroborates the properties attributed to those portfolios. | en-US |
| dc.description | En este artículo se implementa un modelo de optimización robusta bayesiana para la selección óptima de un portafolio de inversión. Para ello, se extiende el modelo desarrollado por Meucci, que consiste en la incorporación del enfoque bayesiano al modelo de portafolio robusto para definir el conjunto de incertidumbre de tipo elipsoidal, bajo una distribución Wishart inversa. De esta forma, se incorpora la incertidumbre de los parámetros estimados para crear la contraparte robusta en el modelo de portafolio. El modelo propuesto utiliza una función de distribución Gamma, como generalización de la función Wishart. Los resultados confirman las conclusiones de Meucci y corroboran las propiedades atribuidas a este tipo de portafolios. | 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/8490/13078 | |
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| dc.relation | /*ref*/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 | |
| dc.rights | Derechos de autor 2022 Diego Felipe Carmona Espejo, Jhonatan Gamboa Hidalgo | es-ES |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | es-ES |
| dc.source | Odeon; No. 21 (2021): Julio-Diciembre; 81-104 | en-US |
| dc.source | Revista ODEON; Núm. 21 (2021): Julio-Diciembre; 81-104 | es-ES |
| dc.source | 2346-2140 | |
| dc.source | 1794-1113 | |
| dc.subject | Optimal portfolio; | en-US |
| dc.subject | Bayesian methods; | en-US |
| dc.subject | robust optimization | en-US |
| dc.subject | portafolio óptimo; | es-ES |
| dc.subject | métodos bayesianos; | es-ES |
| dc.subject | optimización robusta | es-ES |
| dc.title | Robust portfolio optimization using Bayesian methods | en-US |
| dc.title | Optimización robusta de portafolio empleando métodos Bayesianos | es-ES |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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