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Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market [Utilización del criterio Kelly para optimizar la rentabilidad de un portafolio en el mercado accionario Colombiano]

dc.creatorArango Arango M.A., Alzate López S., Guzmán Aguilar D.S.spa
dc.date.accessioned2018-04-13T16:31:53Z
dc.date.available2018-04-13T16:31:53Z
dc.date.created2018
dc.identifier.issn7981015
dc.identifier.urihttp://hdl.handle.net/11407/4533
dc.description.abstractThe main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index. © 2018.eng
dc.language.isospa
dc.publisherRevista Espaciosspa
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85041556816&partnerID=40&md5=0794e581ec7ffb59812b89cd74eb87e5spa
dc.sourceScopusspa
dc.titleEstimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market [Utilización del criterio Kelly para optimizar la rentabilidad de un portafolio en el mercado accionario Colombiano]spa
dc.typeArticleeng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.contributor.affiliationUniversidad de Antioquia, Medellín, Colombia; Universidad Nacional de Colombia, Colombia; Universidad de San Buenaventura, Medellín, Colombia; Universidad de Medellín, Colombiaspa
dc.subject.keywordBVC; Kelly Criterion; Portfolio Selectioneng
dc.publisher.facultyFacultad de Ingenieríasspa
dc.abstractThe main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index. © 2018.eng
dc.creator.affiliationArango Arango, M.A., Universidad de Antioquia, Medellín, Colombia, Universidad Nacional de Colombia, Colombia; Alzate López, S., Universidad de San Buenaventura, Medellín, Colombia; Guzmán Aguilar, D.S., Universidad de Medellín, Colombiaspa
dc.relation.ispartofesEspaciosspa
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