Valor en riesgo de una cartera de inversión de 15 empresas del sector servicios - subsector camionaje en el periodo 2005-2015

Abstract

Abstract:The work focuses on the implementation of the model using the variance-covariance methodology for 15 assets of the trucking sector, whose time horizon is ten years, 2005-2015. For the development of the work, the asset surrenders were used, which were applied to maximizing profitability, minimizing risk and maximizing the Sharpe ratio. The main results that increase the assets in the portfolio do not modify the risk or performance. Therefore, it was determined that the portfolio of 5 assets is the one that improved the risk and yield evaluation. In addition, the results reflect that the VaR estimates of Variance - Covariance are higher than those given by the Historical VaR. Although, when the risk is minimized, the portfolios of 10 and 15 show a lower level of loss. For the portfolio of 5 assets, the decrease will be reached, but with the maximization of the Sharpe ratio.