Selección de portafolio y asignación óptima de capital para fondos de inversión colectiva en Colombia por perfil de riesgo de inversionista

Abstract

This work will develop an optimal portfolio selection exercise composed of Colombian Collective Investment Funds, according to the risk profile of investors, based on the portfolio theory of Markowitz (1952). The results are to offer an investment alternative different from the traditional savings products currently available in the Colombian financial system, in accordance with the objective, time horizon and risk profile of the investor. The optimal combination of FICs for each risk profile is obtained by choosing the combination of FICs that has the maximum value of the Sharpe ratio (1964) when the efficient frontier is divided into three segments, one for each risk profile considered.