Valor en riesgo para diversificación internacional de portafolios
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La diversificación internacional de portafolios es la conformación de portafolios de inversión con activos financieros de varias regiones o países. De esta forma, el Valor en Riesgo del portafolio es menor que un portafolio con diversificación local. Las metodologías tradicionales para cuantificar el Valor en Riesgo son las paramétricas y no paramétricas. En este trabajo se implementaron estas metodologías a partir de un portafolio diversificado localmente y portafolios diversificados internacionalmente por medio de ETF (Exchange Traded Fund). Los resultados muestran que portafolios de inversión de acciones colombianas tienen menor riesgo si se diversifican con ETF internacionales, en particular el SPY.
Abstract: The international portfolio diversification is the creation of investment portfolios of financial assets in several regions or countries. Thus, the value at risk of the portfolio is less than a locally diversified portfolio. Traditional methodologies for quantifying the value at risk are the parametric and nonparametric. In this paper these methodologies from a diversified portfolio diversified portfolios locally and internationally through ETF (Exchange Traded Fund) were implemented. The results show that investment portfolios Colombian stocks have lower risk if diversified international ETF, including the SPY.
Abstract: The international portfolio diversification is the creation of investment portfolios of financial assets in several regions or countries. Thus, the value at risk of the portfolio is less than a locally diversified portfolio. Traditional methodologies for quantifying the value at risk are the parametric and nonparametric. In this paper these methodologies from a diversified portfolio diversified portfolios locally and internationally through ETF (Exchange Traded Fund) were implemented. The results show that investment portfolios Colombian stocks have lower risk if diversified international ETF, including the SPY.