Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146571
Authors: 
Betancourt Bejarano, Katherine
García Díaz, Carlos Mario
Lozano Riaño, Viviana
Year of Publication: 
2013
Citation: 
[Journal:] Atlantic Review of Economics [ISSN:] 2174-3835 [Volume:] 1 [Year:] 2013
Abstract (Translated): 
Financial markets currently offer various investment alternatives, including a variety of assets, which are differentiated by the level of profitability, liquidity, volatility and trading volume associated with them, among other characteristics of the market; it which implies that investors use various tools to choose optimal investments incurring a level of risk. Given the above, this paper presents a model of efficient portfolio optimization based on Markowitz's theory, using EWMA methodology for the calculation of portfolio risk.
Subjects: 
optimal portfolio
Markowitz theory
efficient frontier
risk
EWMA (Exponentially Weighted Moving Average)
variance-covariance matrix
JEL: 
G11
C13
Document Type: 
Article

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