REVISTA DYNA MANAGEMENT

Key words:

Riesgo, Rendimiento esperado, Cartera de inversión, Modelo de optimización.Risk, Expected performance, Investment portfolio, Optimization model.

Article type:

ARTICULO DE INVESTIGACION / RESEARCH ARTICLE

Section:

RESEARCH ARTICLES

ABSTRACT:
This paper presents and analyses several optimization models capable of defining and proposing an optimal investment portfolio on sovereign bonds. The models focus on profitability and risk immunization. To do so a period covering the sovereign debt crisis that took place during the last and beginning of the two first decades of the century is selected.
So, an optimal portfolio on sovereign bonds considering a number of different selected countries is proposed. The historical of correlations among the bonds and their profitability is considered. The risk is evaluated according to the Markowitz mean-variance methodology.
The analysis is undertaken following two different approaches. The first one is based on a multicriteria model that takes into account profitability and risk minimization trying to balance the expected profitability without incurring in a high risk. The second one is based on a single criterion model related to the profitability, but considering the risk as a constraint of such model avoiding solutions that could imply a high risk.

Key words: Risk, Expected performance, Investment portfolio, Optimization model.