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20 p
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Editor
Juan Carlos Urango
Diseño Original
Camila Cesarino Costa
Diseño y Diagramación
Leiva Ballesteros - Publicidad
Impresión
Leiva Ballesteros - Publicidad
Selección del
portafolio óptimo:
Una nota pedagógica
Contenido
3. Referencias bibliográficas 13
Table of Content
1. Choosing portfolio 15
3. Bibliographic references 20
Resumen
Usualmente los textos y cursos de finanzas enseñan el tema de selección de
Selección del
portafolio de una manera muy teórica. Existe un modelo (Markowitz) que dice portafolio óptimo:
que un inversionista tiene preferencias y que escogerá el mejor portafolio,
dadas sus curvas de preferencia y una frontera eficiente. Por el otro lado, el
Una nota pedagógica1
modelo Capital Asset Pricing Model (CAPM) se presenta como una idea muy
ingeniosa que sirvió para simplificar y hacer operativo el modelo de Markowitz.
La mayoría de los estudiantes y la gente en la práctica concluyen que estos
modelos son pura teoría sin ninguna posibilidad de aplicación. Y este es un
comportamiento muy racional. ¿Qué puede hacer un inversionista con lo que le
dicen en los cursos y libros de finanzas? Muy poco. Usar el olfato.
5 1. Disponible en http://papers.ssrn.com/abstract=285194
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
6
IGNACIO VÉLEZ PAREJA Selección del portafolio óptimo
Para hallar el portafolio m, lo que hay que hacer es darse cuenta de que
la pendiente de la recta que pasa por m y por r es la máxima posible, y de
que corresponde a otro problema de optimización. De acuerdo con la
teoría del Capital Asset Pricing Model (CAPM), el inversionista preferirá
una posición en el “portafolio de mercado” sea con o sin deuda.
Entonces, el portafolio óptimo está dado por la solución a un problema
de optimización.
Rm −
r
Maxtnè =
m m
∑
∑
á áó
k =1 i=1
k j kj
(7.10)
s.a
m
∑
á =
1
i=1
i
7
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
Portafolio óptimo m
Desviación estándar
9
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
Mes 1 2 3 4 5 6 7 8 9 10 11 12
Acción 1 16.33 0.11 -13.07 -16.42 19.45 12.36 9.58 -8.03 -4.73 -16.15 -12.63 13.23
Acción 2 17.89 0.90 -6.51 -7.51 2.77 2.76 8.16 -5.28 -2.31 -9.80 -10.07 8.98
Acción 3 17.93 12.48 1.38 -11.75 -22.52 11.63 14.48 -7.26 4.77 3.06 1.18 -25.38
Acción 4 6.02 -9.40 -26.68 -11.65 9.97 -15.29 -20.30 9.93 17.15 7.68 18.45 14.15
Rm −
r
tnè =
m m
∑
∑
á áó
k =1 i=1
k j kj
11
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
9.
Acción 1 Acción 2 Acción 3 Acción 4
Pesos 92,18% 0,00% 0,00% 7,82%
12
IGNACIO VÉLEZ PAREJA Selección del portafolio óptimo
3. Referencias Bibliográficas
Elton Edwin J. and Martin Jay Gruber (1995), Modern portfolio theory
and investment analysis, Wiley.
13
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
Abstract
Optimal Portfolio Usually in financial textbooks and courses the theory of portfolio selection is
Selection: taught in a strictly theoretical way. There is a model (Markowitz) that stipulates
A Pedagogical Note2 that an investor has preferences and that she will choose the best portfolio,
given her preference curves and an efficient frontier. On the other hand, the
Capital Asset Pricing Model (CAPM) is presented as it is: a genial idea that served
to simplify and to make operative the Markowitz setup.
Most students and practitioners conclude that those models are just
inapplicable theory. This is the most rational behavior one can expect. What can
an investor do with the textbook recipes to configure an optimal portfolio? Very
little.
2. Available at http://papers.ssrn.com/abstract=234883 14
IGNACIO VÉLEZ PAREJA Optimal Portfolio Selection
1. Choosing portfolio
Most students and practitioners conclude that those models are just
inapplicable theory. This is the most rational behavior one can expect.
What can an investor do with the textbook recipes to configure an
optimal portfolio? Very little.
That optimal risky portfolio is just the point of tangency between the
Capital Market Line and the efficient frontier. As this optimal portfolio
has to lie along the efficient frontier, then the point of tangency is
located at the line with the maximum tangent between that line and
the horizontal line. This solution is very good because it is not easy to
determine the indifference curves for each decision maker. However,
as it was said above, it is not necessary to generate the indifference
curves nor even the efficient frontier given the Separation Theorem
posited by Tobin.
According to the CAPM theory, the investor will prefer a position in the
“market portfolio” either levered or unlevered. Then, the optimal
portfolio is given by this optimization problem.
15
Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
Rm −
r
Maxtnè =
m m
∑
∑
á áó
k =1 i=1
k j kj
s.t.
m
∑
á =
1
i=1
i
Optimal portfolio m
Return
Standard Deviation
The solution to his optimization problem produces the α j's and hence
the optimal portfolio return. Done this, the investor will select the
desired risk level (for instance, she will reduce the risk beyond the
minimum defined by the efficient frontier) combining the optimal
portfolio with an appropriate portion of risk free investment.
I have been examining the solution for historical data from the Bolsa de
Bogota (Bogota Stock Exchange), and the resulting optimal portfolio has
been composed for a few stocks (in some cases the optimal solution is
comprised of only one stock). This apparently contradicts the basic
idea behind portfolio selection: a high degree of diversification.
However, when contrasted with the real practice performed by stock
traders, they intuitively form very small portfolios with predominance
of one or two stocks. The preliminary results of this work, performed
by Professor Irina Dubova and four Business Administration senior 16
IGNACIO VÉLEZ PAREJA Optimal Portfolio Selection
students show that the optimal solutions for 42 portfolios (one for every
quarter and redefined quarterly) tend to confirm this assertion.
An example
Suppose four stocks with the following returns:
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Documentos de trabajo / UTB - Facultad de Ciencias Económica y Administrativas
Month 1 2 3 4 5 6 7 8 9 10 11 12
Stock 1 16.33% 0.11% -13.07% -16.42% 19.45% 12.36% 9.58% -8.03% -4.73% -16.15% -12.63% 13.23%
Stock 2 17.89% 0.90% -6.51% -7.51% 2.77% 2.76% 8.16% -5.28% -2.31% -9.80% -10.07% 8.98%
Stock 3 17.93% 12.48% 1.38% -11.75% -22.52% 11.63% 14.48% -7.26% 4.77% 3.06% 1.18% -25.38%
Stock 4 6.02% -9.40% -26.68% -11.65% 9.97% -15.29% -20.30% 9.93% 17.15% 7.68% 18.45% 14.15%
2. Calculate the average return for the portfolio. It is the scalar product of
the weight vector times the return vector (the return vector is the
average return for the stocks in the first table). In Excel use
SUMPRODUCT. For this level of participation the average return of the
portfolio is 1.42%.
3. Multiply the weight vector by the covariance matrix (you will obtain a
vector). Use the Excel function for matrix multiplication. In the
example.
5. Assume that the risk free rate is 1.5%, then construct the tangent:
Rm −
r
tnè =
m m
∑
∑
á áó
k =1 i=1
k j kj
18
IGNACIO VÉLEZ PAREJA Optimal Portfolio Selection
8. When you press the Resolver (Solve) button, you get the optimal
portfolio composition.
3. Bibliographic References
Elton Edwin J. and Martin Jay Gruber (1995), Modern portfolio theory
and investment analysis, Wiley.
20