Valor en riesgo de una cartera de inversión aplicado en el sector servicios-subsector tecnológico a nivel mundial para el período 2005-2015.

Abstract

At present, investors are concerned about making transactions in an optimal and safe way, in order to obtain good performance. In this sense, the possibility of generating new tools to make better investment decisions is increasingly relevant in financial markets. Indeed, one of the most important contributions for this purpose is that of Markowitz, which proposes the generation of optimally diversified portfolios. For this reason, this work calculates and analyzes investment portfolios with different optimization functions and determines their value at risk. For the implementation of this model, we used parametric methodology of variances-covariances and non-parametric based on the historical method, applied to 3 portfolios made up of 5, 10 and 15 companies of the technological sector worldwide, for the periods 2005-2015. The results obtained determine that the portfolio of maximization of profitability and maximization of the Sharpe ratio in 10 and 15 assets reflect higher performance but are the most risky having the highest potential for loss, both in value at risk through historical simulation such as in the variance-covariance matrix.