Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

Resumen

© 2018. The main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index.
Idioma originalInglés estadounidense
PublicaciónEspacios
EstadoPublicada - 1 ene 2018

Huella dactilar

Stock market
Kelly criterion
Expected returns
Financial markets
Investing
Investors
Methodology
Stock exchange

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title = "Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market",
abstract = "{\circledC} 2018. The main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index.",
author = "{Arango Arango}, {M{\'o}nica Andrea} and {Alzate L{\'o}pez}, Sebasti{\'a}n and {Guzm{\'a}n Aguilar}, {Diana Sirley}",
year = "2018",
month = "1",
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language = "American English",
journal = "Espacios",
issn = "0798-1015",
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}

Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market. / Arango Arango, Mónica Andrea; Alzate López, Sebastián; Guzmán Aguilar, Diana Sirley.

En: Espacios, 01.01.2018.

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

TY - JOUR

T1 - Estimation of a portfolio to maximize the expected return using the Kelly criterion in the Colombian stock market

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AU - Alzate López, Sebastián

AU - Guzmán Aguilar, Diana Sirley

PY - 2018/1/1

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N2 - © 2018. The main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index.

AB - © 2018. The main objective of an investor when forming a portfolio of shares, is to obtain a return on the invested capital while distributing the risk. The most popular method so far to do this is the one proposed by Markowitz (Markowitz, 1959), which minimizes the variance of the portfolio for a fixed value of expected return. In this paper, the Kelly criterion is presented as an alternative to Markowitz's in order to maximize the expected return. The process for estimating a portfolio under this methodology is shown using the data of the COLCAP index from the Colombian stock exchange. In this case, it was found that the Kelly criterion gave a much less diversified portfolio with few shares, which generated a greater return than the passive strategy of investing in the COLCAP index.

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