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Abstract
The present work is the application of the stochastic dominance criterion for foreign currencies that make up the Colombian international reserves portfolio, which are the US dollar, the euro and the yen, in order to identify the risk level associated with each foreign currency within the portfolio. In the development of the study, the yen stochastically dominates in the three levels over the other two currencies. This research is a contribution to strengthen the study of uncertainty risk models applied to the Colombian financial market, because the risk models used in foreign currencies have resulted in the average criterion and the variance presented by Markowitz.
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References
– ALONSO, J. y BERGGRUN, L. (2008). Introducción al análisis del riesgo financiero Cali: Universidad Icesi.
– ATKINSON, A. (1970).
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