Optimización de lo portfolio: Métrica de riesgo con mayor espacio objetivo
DOI:
https://doi.org/10.33448/rsd-v10i5.15189Palabras clave:
Métrica de riesgo; Mayor espacio objetivo; Métrica estadística eficiente; Nuevas métricas para la eficiencia de lo portfolio; Optimización de portfolio.Resumen
El modelo de portfolio EV eficiente de Markowitz, dado un rendimiento mínimo requerido, minimiza la varianza de la cartera, una métrica del riesgo de tendencia central calculada por el método estadístico de concentración de datos y, por lo tanto, utiliza una fórmula literal que permite la solución de la optimización mediante un algoritmo cuadrático, lo que requiere poco consumo computacional. La evolución del modelo de Markowitz para métricas asimétricas de riesgo, minimiza y/o maximiza el riesgo, por debajo y/o por encima de un objetivo t, como el downside risk, el mean-separated target deviations, el value at risk and el conditional value at risk, sin embargo, no permiten el uso de una fórmula literal para la solución de la optimización, transformada en un algoritmo no suave, con una solución compleja y mayor consumo computacional. El aspecto relevante del modelo de Markowitz fue mostrar que lo más importante no es el riesgo del activo sino la contribución que cada activo proporciona al riesgo de lo portfolio, que depende de las interrelaciones entre los activos, la covarianza de lo portfolio. Ampliando el razonamiento como un aporte original y relevante, el artículo presenta una nueva métrica asimétrica de riesgo, con mayor detalle de las interrelaciones entre activos, aumentando el espacio objetivo de optimización, con un mayor número de parámetros optimizados, posibilitando la búsqueda de mejores resultados y utilizando una expresión literal que permite la solución mediante un algoritmo no lineal, menos complejo que el algoritmo no suave. El análisis bibliométrico realizado demuestra la originalidad de la evolución del modelo de Markowitz para métricas asimétricas de riesgo, presentando una fórmula literal de solución y con mayor espacio objetivo.
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