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Modelado de la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores con cambios markovianos de régimen

In: Crecimiento y Desarrollo Económico en México

Author

Listed:
  • López-Herrera, Francisco

    (UNAM)

  • Ortiz-Arango, Francisco

    (Universidad Panamericana)

  • Venegas-Martínez, Francisco

    (Instituto Politécnico Nacional)

Abstract

La volatilidad de los rendimientos financieros, medida por la varianza o de manera equivalente por la desviación estándar, ha sido una variable clave tanto en la teoría como en la práctica. Markowitz (1952) la considera como uno de los parámetros esenciales para el análisis y diseño de portafolios óptimos o eficientes en el sentido de la relación entre el rendimiento esperado y el nivel de riesgo al que se sujeta el inversionista. Además de proporcionar una herramienta útil para la toma de decisiones de inversión y para la administración de portafolios, también se puede decir que el trabajo de Markowitz y de quienes lo siguieron, tuvo como una de sus aportaciones el establecimiento de la primera herramienta aplicable a la administración de los riesgos inherentes a la inversión en activos financieros. economías alrededor del mundo.

Suggested Citation

  • López-Herrera, Francisco & Ortiz-Arango, Francisco & Venegas-Martínez, Francisco, 2011. "Modelado de la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores con cambios markovianos de régimen," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Crecimiento y Desarrollo Económico en México, volume 1, chapter 10, pages 153-164, Escuela Superior de Economía, Instituto Politécnico Nacional.
    • Handle: RePEc:ipn:capitu:071
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