One approach to portfolio theory siefores in Mexico

Authors

  • Humberto Banda Ortiz Universidad Autónoma de Querétaro, Facultad de Contaduría y Administración (México).
  • Luis Miguel González García Universidad Tecnológica de Querétaro (México).
  • Denise Gómez Hernández Universidad Autónoma de Querétaro, Facultad de Contaduría y Administración (México).

Abstract

This article is an application of the Markowitz Portfolio Theory (1952) to SIEFORES in Mexico. Through these workers can invest their savings and create a personalized portfolio and access to money and capital markets with this instrument, bounded by guidelines of the law. It seeks to make a measurement with the methodology proposed by Markowitz to determine the performance of such portfolios and suggest the most optimal combination of resources to invest in each of these instruments. As a complementary tool to the risk analysis, VaR is used, and to measure the performance management of the portfolios analyzedrTreynor and Sharpe index was applied.

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Issue

N°36: Ene-Jun 2014

Section

Artículos