Comparación de los modelos de Black-Litterman, Markowitz y CAPM en la estimación de los rendimientos esperados en el mercado de renta variable en Colombia

Genjis A Ossa González

doi:10.22490/25392786.7230

Vol. 12 No. 2 (2023)

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2023-07-19

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Comparison of the Black-Litterman, Markowitz and CAPM models in the estimation of expected returns in the variable income market in Colombia

DOI: https://doi.org/10.22490/25392786.7230

Section

Artículo de Investigación

Genjis A Ossa González Universidad Popular del Cesar

Introduction: This article focuses on the study and application of the Black Litterman (BL) model to six companies on the Colombian Stock Exchange (BVC), considering historical returns, market capitalizations, and perspectives on the future behavior of assets. in order to obtain the expected returns. Methodology: the results of this approach are compared with the Markowitz and CAMP models, the study period covers from February 28, 2018, to February 24, 2023. The research is quantitative, descriptive, and longitudinal, it is used the risk-free rate TFIT16240724 and the ICOLCAP index as measures of market risk. Results: were obtained, they were evaluated, concluding that the Markowitz model presented the most optimistic and profitable individual returns, while the BL and CAMP models presented very low expected returns. Portfolio returns optimized for the Markowitz and Black Litterman models have a similar insight into stock trends but differ in their perception of risk.

Markowitz, CAPM, Black-Litterman, returns, risk aversion, logarithm, portfolio optimization

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Ossa González, G. A. (2023). Comparison of the Black-Litterman, Markowitz and CAPM models in the estimation of expected returns in the variable income market in Colombia. Revista Estrategia Organizacional, 12(2), 29-53. https://doi.org/10.22490/25392786.7230

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Comparison of the Black-Litterman, Markowitz and CAPM models in the estimation of expected returns in the variable income market in Colombia

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