Browsing by Author "Lojano Lucero, Sandra Carolina"

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    Construcción de un portafolio de inversión con instrumentos de renta variable en mercado de valores estadounidense
    (Universidad de Cuenca, 2023-05-11) Lojano Lucero, Sandra Carolina; Luna Flores, José Andrés; Orellana Osorio, Iván Felipe
    Portfolio construction is the process of selecting and combining financial assets with the aim of achieving a specific economic goal. To achieve such objective, contextualizing portfolio construction through a quantitative model is a valid approach, however, complexity quickly increases as the number of variables that mimic real investment scenarios are accounted for. In this thesis, portfolio construction is solved though classic one-period portfolio theory, such that, this process can be stated as a static portfolio choice problem. It will be shown that by using the assumption of Log-Normality of returns and that a risk averse individual possesses a CRRA utility function, an optimal portfolio is defined by maximizing an expected utility function of M-V parameters. With this theoretical model at hand, the main objective becomes to construct portfolios using financial data of 49 U.S industry-portfolios taken from the Kenneth French Repository. The optimization process is handled by two algorithms that were built in order to fasten calculations and to allow us to analyze a set of risk preferences and the effects of diversification.