Resumo

DUBOVA, Irina. The validation and application of the Portfolio Theory in Colombia. Cuad. Adm. [online]. 2005, vol.18, n.30, pp.241-279. ISSN 0120-3592.

This paper presents the results of an investigation into the application of the Capital Asset Pricing Model (CAPM) in the Colombian capital market. To construct optimal portfolios, CAPM optimization techniques were used that were based on the monthly performance of shares on the Colombian Stock Exchange between 1993 and 2003. The optimum portfolios were then valued, and their profitability was compared with the Colombian market average. Comparing this profitability with the market portfolio for different samples and periods gave uncertain results. It was also found that the optimum portfolio model is little used in Colombia. The paper concludes that improving the application of the optimum portfolio model depends on a higher level of profundización and efficiency in the Colombian capital market. Similarly, the proper use of optimizers by portfolio administrators, added to their experience and intuition, will improve their performance in the capital market.

Palavras-chave : profitability; risk; diversification; efficient border; optimum portfolio.

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )