<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422023000400101</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2023.3409</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Semi-variance optimization for the components of the Dow Jones Industrial Average index]]></article-title>
<article-title xml:lang="es"><![CDATA[Optimización de la semi-varianza para los componentes del índice Dow Jones Industrial Average]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Samaniego Alcántar]]></surname>
<given-names><![CDATA[Angel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Jesuita de Guadalajara  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2023</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2023</year>
</pub-date>
<volume>68</volume>
<numero>4</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422023000400101&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422023000400101&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422023000400101&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This study contributes to passive portfolio management by comparing four ways to allocate assets. Indexing, mean-variance optimization, equal-weighting, and semi-variance optimization are compared as part of an investment strategy aimed at outperforming the Dow Jones Industrial Average (DJIA). A backtest of 5 134 simulations is performed between 2000-2020 to test the models. The best way to allocate assets was portfolio optimization looking for the minimum semi-variance. Yield spreads below the DJIA yield and the components of this index are used for the semi-variance. The best strategy has a 65.2% probability of outperforming the DJIA annual return. It has an annual abnormal return of 0.42% and a beta of 0.95 obtained with the CAPM.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este estudio abona a la administración pasiva de portafolios al comparar cuatro formas para asignar activos. Se comparan la indexación, la optimización con media-varianza, igual ponderación y la optimización con semi-varianza, como parte de la estrategia de inversión cuyo objetivo es superar al Dow Jones Industrial Average (DJIA). Se realizan 5 134 simulaciones entre 2000-2020 para contrastar los modelos. La mejor forma de asignar activos fue la optimización de portafolios buscando la mínima semi-varianza. Se utilizan diferenciales de rendimiento por debajo del rendimiento del DJIA y los componentes de este índice para la semi-varianza. La mejor estrategia tiene una probabilidad del 65.2% de superar al rendimiento anual del DJIA. Se tiene un rendimiento anormal anual del 0.42% y una beta del 0.95 obtenidos con el CAPM.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[downside-risk]]></kwd>
<kwd lng="en"><![CDATA[semi-variance]]></kwd>
<kwd lng="en"><![CDATA[portfolio selection]]></kwd>
<kwd lng="en"><![CDATA[mean-variance]]></kwd>
<kwd lng="en"><![CDATA[passive management]]></kwd>
<kwd lng="es"><![CDATA[riesgo a la baja]]></kwd>
<kwd lng="es"><![CDATA[semi-varianza]]></kwd>
<kwd lng="es"><![CDATA[selección de carteras]]></kwd>
<kwd lng="es"><![CDATA[media-varianza]]></kwd>
<kwd lng="es"><![CDATA[administración pasiva]]></kwd>
</kwd-group>
</article-meta>
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