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Teorías sobre cobertura con contratos de futuro

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  • Vicent Aragó Manzana

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    Abstract

    En este trabajo se presenta una revisión de las principales teorías sobre cobertura con contratos de futuro y de los distintos métodos de estimación utilizados para determinar el ratio de cobertura óptimo. La aproximación a la cobertura más utilizada en la literatura especializada es la basada en el modelo de la teoría de carteras.No obstante, debido a sus hipótesis relacionadas con la función de utilidad del inversor y con las propiedades de la función de distribución de los rendimientos, XI han surgido nuevas propuestas (por ejemplo, las construidas a partir del coeficiente de Gini y el concepto de Lower Partial Moments), que intentan reducir dichas restricciones.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/50/v28n50_arago_2009.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2009)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:005897

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    Related research

    Keywords: contratos de futuros; ratio de cobertura óptimo; Coeficiente de Gini; Lower Partial Moments; Modelos GARCH; Cointegración; Ratio de cobertura de mínima varianza.;

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