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Portafolios mexicanos tradicionales y no tradicionales

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  • Héctor Alonso Olivares Aguayo

    (Facultad de Negocios, Universidad La Salle México)

Abstract

El objetivo de la investigación es observar una subestimación del riesgo en el modelo tradicional de Portafolios de Markowitz respecto a una variación al modelo considerando Cópula-GARCH Elípticas. Con datos semanales se estiman Portafolios de mínima varianza conformados por los Índices Sectoriales Invertibles de la BMV en el periodo 2009-2018. Los resultados de esta investigación, muestran que el modelo tradicional subestima el riesgo, a diferencia de los Portafolios Cópula-GARCH. La principal implicación es que el inversionista opte por Portafolios no tradicionales con Cópula-GARCH puesto que los rendimientos esperados son mayores que los obtenidos por el modelo tradicional. Para futuras investigaciones se puede romper el supuesto de normalidad en ambos modelos e incluir un activo libre de riesgo.

Suggested Citation

  • Héctor Alonso Olivares Aguayo, 2021. "Portafolios mexicanos tradicionales y no tradicionales," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 6(2), pages 3-25, July.
    • Handle: RePEc:msn:rijrnl:v:6:y:2021:i:2:p:3-25
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    File URL: https://ricca.umich.mx/index.php/ricca/article/view/66/72
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    References listed on IDEAS

    as
    1. Waël Louhichi & Hassen Rais, 2019. "Refinement of the hedging ratio using copula-GARCH models," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 403-411, September.
    2. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong, 2019. "Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures," Pacific-Basin Finance Journal, Elsevier, vol. 55(C), pages 95-109.
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