Propuesta de un portafolio eficiente de inversión en función del flujo de caja, mediante la aplicación del ratio de Sharpe en una cooperativa de ahorro y crédito del segmento 1

Abstract

This paper proposes an efficient investment portfolio for a Segment 1 credit union, based on cash flow analysis and the application of the Sharpe ratio, in order to optimize risk-adjusted profitability, preserve liquidity and strengthen financial stability. A quantitative approach was used with data for the period 2021-2024, applying forecasting methods such as Holt and Holt- Winters to estimate income and expenses, and the Miller-Orr model to establish liquidity limits. The portfolio was constructed considering only fixed-income instruments, maintaining their characteristics until maturity, and restrictions were applied by type of instrument and maturity. The optimization was carried out through the Sharpe ratio, maximizing the risk-return relationship without compromising the entity's resources. The proposal shows that, by aligning itself with the cash flow, the portfolio would allow improving financial planning and promoting a more efficient management of resources, strengthening the financial sustainability of the cooperative.