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La matriz de covarianzas de residuales en la asignación y valuación de activos


  • Benjamín García Martínez

    () (Instituto Tecnológico y de Estudios Superiores de Monterrey)

  • Arturo Lorenzo Valdés

    () (Instituto Tecnológico y de Estudios Superiores de Monterrey)


"Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portfolio when we have a non-efficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non-observed risk factor that considers the information aj=/0 (mispricing) and to select a portfolio that considers that the source of inefficiency is resulted from the omission of risk factors. The information contained in the residual covariance (S) resulting of the linear relation between the returns and a non-efficient index is related to the sub/super-valuation element (a) to find an exact structure of the determination of the expected returns of the assets on the basis of a linear model of risk factors, given a non-efficient Index and a N-active set. This work applies this methodology to 25 stock return excesses from the Mexican market and uses as observed factor the return excesses of the Indice de Precios y Cotizaciones (IPC) during the period January, 2004 to July 2007

Suggested Citation

  • Benjamín García Martínez & Arturo Lorenzo Valdés, 2008. "La matriz de covarianzas de residuales en la asignación y valuación de activos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(2), pages 162-178.
  • Handle: RePEc:ega:rafega:200812

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    More about this item


    Media-varianza; residuales; CAPM; elección de portafolio;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection


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