Valor en riesgo (VaR) de carteras de inversión del sector de materiales básicos periodo 2008 -20015.

Abstract

Abstract:The Value at Risk job of investment portfolios of the basic materials sector from 2008 to 2015, aimed at calculating the optimization of investment portfolios and value at risk, of assets of companies in the United States, Argentina, Brazil and Chile. They are listed on the New York Stock Exchange (NYCE). The methodology used was parametric (Variance - Covariance), and non-parametric (Historical Method). Likewise, the Markowitz model proposes models to design an optimal portfolio such as maximizing profitability, minimizing risk and maximizing the Sharpe ratio, models that will allow investments to have an economic rationality. The results obtained in the proposed models show that they have different results in the behavior within the three portfolios. In the profitability maximization model, the same result is shown for the three portfolios, and in terms of risk minimization models and Sharpe ratio maximization, their results vary as more assets increase. And as for the results of the optimization of the portfolio, the one that best fits and offers the most effectiveness is the variance-covariance model.