El riesgo de inversión en el mercado de renta variable ecuatoriano, utilizando modelo VaR, con nuevas medidas de optimización de cartera.

Abstract

Abstract:One of the main problems that the stock market presents is the risk involved in investing in variable income securities, for this reason, it focuses on optimizing diversified portfolios, through the Omega and Sortino ratios. The portfolio theory proposed by Markowitz, and the VaR model are used to determine the risk of each portfolio. The main finding is that a portfolio with an equal asset weight has a negative return, but when optimized with a new weight, it presents a positive and better return. The main limitations are given because there is no history of share prices on a daily basis, and there are also few studies on this subject in the Ecuadorian market. The results of this research allow a moderate investor to participate in the equity market, through efficient risk diversification by investing in different sectors.