Valor en riesgo (VAR) de carteras de inversión del sector cuidados de la salud periodo 2005-2017

Abstract

This paper analyzes the value at risk (VaR) of the investment portfolios of the health care sector using the methods of optimization of posters according to the proportion of Sharpe and the calculation of the VaR through the historical method and variance-covariance using the data corresponding to 15 companies, corresponding to the 2005-2017 period, based on the historical quotes of the companies that were taken from the website: https://es.finance.yahoo.com/. For this estimate of profitability and risk, an analysis of 3 portfolios was obtained where: the first portfolio was made up of 15 assets, the second of 10 assets and the third of 5 assets. Applying the Sharpe method that allows to create investment portfolios and measure optimization. And to measure the risk, it was calculated through the historical method and variance covariance. The results obtained from this research work indicate that the investor must choose to diversify his portfolio, so that his investment achieves better yields of return with a minimum risk.