Categorización de activos financieros utilizando el método no paramétrico DEA
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may 6, 2020
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Hernán Pablo Guevel
http://orcid.org/0000-0003-4434-9178
http://orcid.org/0000-0003-4434-9178
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Resumen
El objetivo de este artículo es proponer un enfoque metodológico integrado para la categorización de activos utilizando la metodología del Análisis Envolvente de Datos (DEA, versión Modelo Aditivo Básico). La necesidad de que los stakeholders evalúen la posibilidad de quiebra, riesgo crediticio y la confección de carteras de inversión ha dado lugar a herramientas capaces de evaluar los activos financieros. Ante el creciente volumen de datos asociados a los activos, en ocasiones se ha optado por la categorización en grupos que comparten características homogéneas. Esta estrategia implica una reducción significativa en el tiempo y el costo del análisis. El sistema seleccionado para el análisis incluye las empresas que cotizaron en la Bolsa de Buenos Aires durante el periodo 2009-2010.
Keywords
References
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Mashayekhi, Z., & Omrani, H. (2016). An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem. Applied Soft Computing, 38, 1-9. https://doi.org/10.1016/j.asoc.2015.09.018
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Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. http://efinance.org.cn/cn/fm/Capital%20Asset%20Prices%20A%20Theory%20of%20Market%20Equilibrium%20under%20Conditions%20of%20Risk.pdf
Spronk, J., & Hallerbach, W. (1997). Financial modelling: Where to go? With an illustration for portfolio management. European Journal of Operational Research, 99(1), 113-125. https://doi.org/10.1016/S0377-2217(96)00386-4
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409. https://doi.org/10.1016/j.ejor.2010.08.028
Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404-415. https://doi.org/10.1016/S0377-2217(99)00142-3
Zopounidis, C., & Doumpos, M. (1999). A multicriteria decision aid methodology for sorting decision problems: The case of financial distress. Computational Economics, 14(3), 197-218. https://doi.org/10.1023/A:1008713823812
Zopounidis, C., & Doumpos, M. (2013). Intelligent decision aiding systems based on multiple criteria for financial engineering, v. 38. Springer Science & Business Media. https://doi.org/10.1007/978-1-4615-4663-4
Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609. https://doi.org/10.1111/j.1540-6261.1968.tb00843.x
Altman, E. I., & Hotchkiss, E. (1993). Corporate financial distress and bankruptcy. New Jersey: John Wiley & Sons, Inc., Hoboken.
Amiri, M., Zandieh, M., Soltani, R., & Vahdani, B. (2009). A hybrid multi-criteria decision-making model for firms competence evaluation. Expert Systems with Applications, 36(10), 12314-12322. https://doi.org/10.1016/j.eswa.2009.04.045
Amiri, M., Zandieh, M., Vahdani, B., Soltani, R., & Roshanaei, V. (2010). An integrated eigenvector –DEA– TOPSIS methodology for portfolio risk evaluation in the FOREX spot market. Expert Systems with Applications, 37(1), 509-516. https://doi.org/10.1016/j.eswa.2009.05.041
Banker, R., Charnes, A., & Cooper, W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management science, 30(9), 1078-1092. https://doi.org/10.1287/mnsc.30.9.1078
Caro, N. P. (2013). Evaluación de riesgo de crisis financiera en empresas argentinas en los periodos 1993-2000 y 2003-2010. Tesis de Doctorado en Ciencias Económicas, Universidad Nacional de Córdoba, Córdoba. http://hdl.handle.net/11086/712
Charnes, A., Cooper, W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(6), 429-444. https://doi.org/10.1016/0377-2217(78)90138-8
Charnes, A., Cooper, W., Golany, B., Seiford, L., & Stutz, J. (1985). Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Journal of Econometrics, 30(1-2), 91-107. https://doi.org/10.1016/0304-4076(85)90133-2
Comisión Nacional de Valores (2020). Calificadoras de Riesgos. Recovered January 10, 2020, https://www.argentina.gob.ar/normativa/recurso/67292/res368-11-6-2001cap16/htm.
Cooper, W., Seiford, L., & Tone, K. (2000). Data envelopment analysis. In W. Cooper, L. Seiford, & J. Zhu (eds.), Handbook on Data Envelopment Analysis (pp. 1-40), 1st ed. https://doi.org/10.1007/1-4020-7798-X_1
Doumpos, M., & Zopounidis, C. (2002). Multicriteria decision aid classification methods, v. 73. Springer Science & Business Media. https://doi.org/10.1007/b101986
Dow, C. H. (1884). Dows theory. Wall Street Journal. News paper. Online consultation.
Elliot, R. N. (1938). The wave principle. Alanpuri Trading. Publishers of rare stock market books. https://www.alanpuritrading.com/shop/stock-market-psychology/r-n-elliott-3-volume-set-wave-principle-1938
Escobar, J. (2015). Metodología para la toma de decisiones de inversión en portafolio de acciones utilizando la técnica multicriterio AHP. Contaduría y administración, 60(2), 346-366. https://doi.org/10.1016/S0186-1042(15)30004-8
Graham, B., Dodd, D., & Cottle, S. (1934). Security analysis (pp. 44-45). New York: McGraw-Hill.
Jones, S., & Hensher, D. (2004). Predicting firm financial distress: A mixed logit model. The Accounting Review, 79(4), https://doi.org/10.2308/accr.2004.79.4.1011
Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Mashayekhi, Z., & Omrani, H. (2016). An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem. Applied Soft Computing, 38, 1-9. https://doi.org/10.1016/j.asoc.2015.09.018
Ross S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. http://efinance.org.cn/cn/fm/Capital%20Asset%20Prices%20A%20Theory%20of%20Market%20Equilibrium%20under%20Conditions%20of%20Risk.pdf
Spronk, J., & Hallerbach, W. (1997). Financial modelling: Where to go? With an illustration for portfolio management. European Journal of Operational Research, 99(1), 113-125. https://doi.org/10.1016/S0377-2217(96)00386-4
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409. https://doi.org/10.1016/j.ejor.2010.08.028
Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404-415. https://doi.org/10.1016/S0377-2217(99)00142-3
Zopounidis, C., & Doumpos, M. (1999). A multicriteria decision aid methodology for sorting decision problems: The case of financial distress. Computational Economics, 14(3), 197-218. https://doi.org/10.1023/A:1008713823812
Zopounidis, C., & Doumpos, M. (2013). Intelligent decision aiding systems based on multiple criteria for financial engineering, v. 38. Springer Science & Business Media. https://doi.org/10.1007/978-1-4615-4663-4
Cómo citar
Guevel, H. P. (2020). Categorización de activos financieros utilizando el método no paramétrico DEA. Cuadernos De Administración, 33. https://doi.org/10.11144/Javeriana.cao33.cfaup
Sección
Especial Innovación en la gestión del conocimiento a través de metodologías