The impact of transaction costs in portfolio optimization in Peru

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dc.contributor.advisorChávez-Bedoya Mercado, Luis C.
dc.contributor.authorChavalle, Luc
dc.coverage.spatialPerú
dc.date.accessioned2017-07-24T04:55:49Z
dc.date.available2017-07-24T04:55:49Z
dc.date.issued2017
dc.description.abstractThe goal of this thesis is to analyze the behavior of the transaction costs structure in Peru over three dimensions. The first dimension is the the type and number of stocks in the portfolio. The thesis concludes that transaction costs tend to be higher when the portfolio is composed of stocks with small market capitalizations than with stocks with large market capitalizations. The second dimension is the holding period. The thesis concludes that transaction costs tend to decrease when the holding period increases. Also, entry and exit costs corresponding to the period of composing the portfolio and the period of liquidating the portfolio tend to be diluted when the holding period is higher. The third dimension is the trading strategy. The thesis concludes that active trading strategies characterized by a lot of rebalancing face higher transaction costs.en_EN
dc.formatapplication/pdfes_ES
dc.identifier.urihttps://hdl.handle.net/20.500.12640/874
dc.language.isoenges_ES
dc.publisherUniversidad ESANes_ES
dc.publisher.countryPEes_ES
dc.rightsinfo:eu-repo/semantics/restrictedAccesses_ES
dc.subjectGestión de carteraes_ES
dc.subjectOptimizaciónes_ES
dc.subjectCostos de transacciónes_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.04es_ES
dc.titleThe impact of transaction costs in portfolio optimization in Peruen_EN
dc.typeinfo:eu-repo/semantics/masterThesises_ES
dc.type.otherTesis de Maestría
renati.advisor.dni40674396
renati.advisor.orcidhttps://orcid.org/0000-0002-0992-9495
renati.author.pasaporteFR / 14AI74854
renati.discipline413017es_ES
renati.jurorGuillén Uyen, Jorge B.
renati.jurorMendiola Cabrera, Alfredo
renati.levelhttp://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttp://purl.org/pe-repo/renati/type#tesises_ES
thesis.degree.disciplineAdministraciónes_ES
thesis.degree.grantorUniversidad ESAN. Escuela de Administración de Negocios para Graduadoses_ES
thesis.degree.nameMaestro/Magíster en Administraciónes_ES
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