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Un análisis univariante y multivariante de la diversificación de carteras bajo heterocedasticidad condicionada/Univariate and Multivariate Analysis of The Diversification of Portfolios Under Conditional Heteroscedasticity

  • AFONSO RODRÍGUEZ, J. A.

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría;Universidad de La Laguna. 38071 – Santa Cruz de Tenerife. Telf.: 922 31 71 02.)

  • BRUNO PÉREZ, N. A.

    (Departamento de Economía Financiera y Contabilidad. Facultad de CC. Económicas y Empresariales. Universidad de La Laguna.38071 – Santa Cruz de Tenerife. Telf.: 922 31 71 02.)

  • J.GINER RUBIO

    ()

    (Departamento de Economía Financiera y Contabilidad. Facultad de CC. Económicas y Empresariales. Universidad de La Laguna.38071 – Santa Cruz de Tenerife. Telf.: 922 31 71 02.)

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    El objetivo de este trabajo es estudiar cómo la diversificación de carteras construidas en base a principios naive (ingenuos) afecta al riesgo específico de las mismas en el marco del modelo de mercado de un solo índice cuando los términos de perturbación del modelo son condicionalmente heterocedásticos. En base al estudio de la versión univariante de este modelo construiremos una medida del riesgo específico asociada al grado de diversificación de la cartera a partir de la estimación de la varianza condicional heterocedástica, volatilidad. En el marco multivariante, una generalización de esta medida permitirá analizar por un lado el efecto de la evolución temporal de la varianza condicional, y por otro lado la relación temporal contemporánea, co-volatilidad, existente entre los títulos de cada cartera particular considerada en cada etapa del análisis. In this work we analyse how the diversification of portfolios based on naive principles affects their specific risks within the framework of a single index market model, where the disturbance term in such model is conditionally heteroscedastic. Based on an analysis of the univariate version of this model, we will determine a measurement of the specific risk associated to the degree of diversification of the portfolio, starting from an estimation of the heteroscedastic conditional variance, volatility. In a multivariate framework, a generalisation of this measure will permit not only to identify the evolution in time of the conditional variance, but also the contemporary relation in time, covolatility, existent between the securities selected to make up each individual portfolio considered in each step of the analysis.

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    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 22 (2004)
    Issue (Month): (Agosto)
    Pages: 375 (25 páginas)

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    Handle: RePEc:lrk:eeaart:22_2_15
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    1. Foss, Nicolai Juul, 1993. "Theories of the Firm: Contractual and Competence Perspectives," Journal of Evolutionary Economics, Springer, vol. 3(2), pages 127-44, May.
    2. Rachel E. Kranton & Deborah F. Minehart, 1999. "Vertical Integration: Networks, and Markets," Cowles Foundation Discussion Papers 1231, Cowles Foundation for Research in Economics, Yale University.
    3. Armen A. Alchian & Harold Demsetz, 1971. "Production, Information Costs and Economic Organizations," UCLA Economics Working Papers 10A, UCLA Department of Economics.
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