Aplicación del modelo Black-Litterman para la construcción de un portafolio de renta fija global, mediante la estructuración de un benchmark propio y estrategia de cobertura vía forwards

Abstract

The access to different investment assets, the search for diversification, and the application of measures as for quantification and hedging risk are relevant factors for building and managing international investment portfolios. Therefore, the objective of the present paper aims to the application of Black-Litterman portfolio model on building a global fixed income portfolio, which is made up of high yield and investment grade ETFs, as well as developed countries government bonds. Furthermore, in order to increase hedging, diversification ratio, and to minimize risk, a benchmark, which is made up of both global fixed income indices and assets from the same category will be built. Finally, a hedging strategy will be proposed through forwards in order to minimize the inherent risk due to currency depreciation.