La teoría de la Selección de Carteras de Markowitz: análisis y aplicación al Mercado de Valores Argentino

Abstract

The objective of this paper is to expose an investment strategy in the Argentine capital market using the optimization method proposed by Harry Markowitz, to obtain a higher return per unit of risk consistently during the period July 2015 - March 2019. Said strategy it is compared with two others, on the one hand, replicating one of the reference indices of our capital market, the MERVAL25, and on the other, investing in the FCI Coniola. At first, the background is described and the corresponding theoretical bases are developed in order to understand and put the problem posed in this work into context. Finally, the three proposed investment strategies are evaluated through an analysis and application of the tools detailed in the previous section, the results obtained are presented and the conclusions reached are presented.