Document type
Bachelor thesisPublication date
Publication license
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/221730
Modelos de gestión de carteras de inversión
Journal Title
Authors
Director/Tutor
Journal ISSN
Volume Title
Related resource
Abstract
Este Trabajo de Fin de Grado aborda el estudio teórico de modelos matemáticos utilizados en la teorı́a de carteras con el fin de entender las bases matemáticas y financieras que los rigen.
En concreto, se introducen y analizan varios modelos clave: el Modelo de Markowitz, enfocado a la construcción de carteras eficientes; el modelo CAPM, que examina la relación entre riesgo y retorno esperado; el modelo APT, basado en factores múltiples de riesgo; y el Modelo de Black-Litterman, que integra metodologı́as bayesianas para lograr una asignación óptima de activos.
This Final Degree Project focuses on the theoretical study of mathematical models used in portfolio theory with the aim of understanding the mathematical and financial foundations that underpin them. In particular, several key models are introduced and analyzed: the Markowitz Model, focused on the construction of efficient portfolios; the Capital Asset Pricing Model, which describes the relationships between risk and expected return; the Arbitrage Pricing Model, based on multiple risk factors; and the Black-Litterman model, which integrates Bayesian methodologies to achieve optimal asset allocations.
This Final Degree Project focuses on the theoretical study of mathematical models used in portfolio theory with the aim of understanding the mathematical and financial foundations that underpin them. In particular, several key models are introduced and analyzed: the Markowitz Model, focused on the construction of efficient portfolios; the Capital Asset Pricing Model, which describes the relationships between risk and expected return; the Arbitrage Pricing Model, based on multiple risk factors; and the Black-Litterman model, which integrates Bayesian methodologies to achieve optimal asset allocations.
Description
Treballs Finals de Grau d'Enginyeria Informàtica, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2025, Director: Josep Vives i Santa Eulàlia
Citation
Collections
Citation
JARAY ESPAÑOL, Eloy. Modelos de gestión de carteras de inversión. [consulted: 8 of June of 2026]. Available at: https://hdl.handle.net/2445/221730