IDEAS home Printed from https://ideas.repec.org/a/col/000093/005897.html
   My bibliography  Save this article

Teorías sobre cobertura con contratos de futuro

Author

Listed:
  • Vicent Aragó Manzana

    ()

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.

Suggested Citation

  • Vicent Aragó Manzana, 2009. "Teorías sobre cobertura con contratos de futuro," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  • Handle: RePEc:col:000093:005897
    as

    Download full text from publisher

    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/50/v28n50_arago_2009.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-1037, October.
    2. Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003. "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1367-1401, December.
    3. Quah, Danny T, 1996. "Twin Peaks: Growth and Convergence in Models of Distribution Dynamics," Economic Journal, Royal Economic Society, vol. 106(437), pages 1045-1055, July.
    4. Boris Salazar & Andrés Cendales, 2007. "Koopmans: Estructura Modular Y Estrategias Ganadoras En Teoría Económica," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
    5. Tony Lawson, 1994. "Why are so many economists so opposed to methodology?," Journal of Economic Methodology, Taylor & Francis Journals, vol. 1(1), pages 105-134.
    6. Moscati, Ivan, 2006. "Epistemic virtues and theory choice in economics," LSE Research Online Documents on Economics 58429, London School of Economics and Political Science, LSE Library.
    7. Kalaitzidakis, P. & Mamuneas, T.P. & Stengos, T., 2003. "Rankings of Academic Journals and Institutions," Working Papers 2003-8, University of Guelph, Department of Economics and Finance.
    8. Ivan Moscati, 2007. "History of consumer demand theory 1871 - 1971: A Neo-Kantian rational reconstruction," The European Journal of the History of Economic Thought, Taylor & Francis Journals, pages 119-156.
    9. N. Gregory Mankiw & David Romer & David N. Weil, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 107(2), pages 407-437.
    10. Jonathan Temple, 1999. "The New Growth Evidence," Journal of Economic Literature, American Economic Association, vol. 37(1), pages 112-156, March.
    11. Pantelis Kalaitzidakis & Theofanis P. Mamuneas & Thanasis Stengos, 2003. "Rankings of Academic Journals and Institutions in Economics," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1346-1366, December.
    12. Álvaro Gallardo, 2004. "Historia del pensamiento económico y progreso de la ciencia económica. Una perspectiva pluralista," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
    13. Danny Quah, 1996. "Twin Peaks: Growth and Convergence in Models of Distribution Dynamics," CEP Discussion Papers dp0280, Centre for Economic Performance, LSE.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000093:005897. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Facultad de Ciencias Económicas Unal). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.