Anomalía del portafolio de mínima varianza del mercado de valores colombiano

Translated title of the contribution: Minimum variance portfolio anomaly in the Colombian stock market

Alejandro Acevedo Amorocho, Jennifer Celis, Libardo Ballesteros, María Teresa Cala Díaz

Research output: Contribution to journalArticle in an indexed scientific journalpeer-review


The hypothetical presence of the outperformance anomaly of the minimum variance portfolio, compared to market capitalization-weighted portfolios, has been identified as one of the main phenomena studied in financial theory. Being evident that this phenomenon is present in different markets, it is decided to review the virtual presence of this event in the context of the Colombian market, for which the objective of the present investigation was oriented to show if the risk-return properties are present in the portfolios. of Minimum Variance structured with shares of the national stock market. The applied methodology has a quantitative approach, and correlational scope, and through the development of optimization models to minimize the variance of the constituted portfolios, a systematic review of the event was carried out. The results show that the returns of the minimum variance portfolio are more favorable than the results of three portfolios constituted as Benchmark, such as a market portfolio with returns projected by historical average, a market portfolio with returns projected by the valuation model of capital assets, and, finally, the stock market index in Colombia, the review comprised the time window between January 2008 and October 2020. In conclusion, empirical evidence of the presence of the anomaly has been found for years 2010, 2011, 2012, 2013, 2014 and 2020, where effectively the results of the minimum variance portfolio exceed the other three portfolios constituted to benchmark the performance.

Translated title of the contributionMinimum variance portfolio anomaly in the Colombian stock market
Original languageSpanish
Pages (from-to)248-267
Number of pages20
JournalRevista Venezolana de Gerencia
Issue number101
StatePublished - 2 Jan 2023

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Types Minciencias

  • Artículos de investigación con calidad Q3


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