ADMINISTRACIÓN DE RIESGOS DE MERCADO EN PORTAFOLIOS DE INVERSIÓN CON CAPITAL Y DEUDA.

Abstract

This thesis develops the formation of two investment portfolios backed by the Investment Portfolio Theory proposed in the mid-50's by Harry Markowitz, Nobel Prize in Economics in 1992. What is to be achieved with the thesis is to provide investors an easy tool for the construction of a portfolio. The first portfolio has formed with shares of the Mexican Stock Exchange and the second portfolio contains stocks plus a riskless asset. To achieve this, first in Chapter 1, provides an overview of the financial system, essential to understand the different regulatory bodies of various financial instruments such as equity, debt and derivatives. Later, in chapter 2, we develop in detail the formation of two portfolios to get the proportions to invest in each asset, so that anyone with minimal knowledge of statistics and matrix algebra can understand the process. In Chapter 3, for the formation of both portfolios, was developed Excel step to step. Algebraic development proposed by Markowitz. This has done with the didactic purpose of presenting the ideas and the numerical calculation of portfolio theory. Moreover, once built the optimal portfolio with capital and debt, risk management arises as a need to protect the assets of the investor. An alternative to manage the risk of this portfolio is protecting through the incorporation of futures coverage. Usually to measure market risk uses a measure called Value at Risk used to calculate the portfolio value at risk, to be covered by the futures hedge. Finally, note that including a risk-free asset in the portfolio of Markowitz gives better investment opportunities and to consider the opportunities given the derivatives market to protect the portfolio market risk (volatility). It has found that the variance of the portfolio could be even smaller.