Generación de la frontera eficiente : un enfoque de muestreo aleatorio

Abstract

This research analyzes the S&P500 stock market through a random sampling of 81 traded stocks over the last five years (between 2018 and 2022). From this sampling, portfolios of stocks based on combinations are generated to construct the market’s efficient frontier. These portfolios are later on evaluated by incorporating variables from fundamental analysis, such as profitability indicators, liquidity, indebtedness, and valuation. This analysis will enable an understanding of how fundamental analysis variables impact stock price movements, as well as the behaviors exhibited by portfolio returns, achieved by retrospectively evaluating the holding returns that would have been achieved at different time intervals. In practice, this research contributes a methodology to the financial world and its stakeholders for evaluating sets of stocks when constructing portfolios. It enables planning, projecting outcomes, and assessing potential risks associated with investments in the capital market.