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Portfolio Construction Based on Implied Correlation Information and Value at Risk

Listed author(s):
  • Jesus
  • Rogel - Salazar

    ()

    (University of Hertfordshire.)

  • Roberto Tella
Registered author(s):

    Valor en Riesgo (VaR) es una medida usada comunmente para establecer, dado un nivel de confianza, el peor caso de perdidas en activos. La correlacion implicita obtenida a partir de VaR es una forma alternativa del coeficiente de correlacion calculada basandose en rendimiento historico y en un pronostico de la peor perdida. En este trabajo presentamos un tratamiento accesible para estudiantes de economia, finanzas y areas afines con el objetivo de familiarizar al lector con este estimador de riesgo. Con el uso de tres estudios de caso analizamos el efecto que la correlacion implicita apartir de VaR tiene en carteras de tamaño creciente. Calculamos el VaR de cada activo asi como la media de correlacion implicita. Dicho valor es usado para ajustar las fracciones del presupuesto en la cartera original. Hacemos un seguimiento comparativo de carteras en un plazo de 50 dias para identificar tendencias entre el tipo de cartera y riesgo encontrado.

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    File URL: http://www.revistascientificas.udg.mx/index.php/EQ/article/view/4856/4531
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    Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economía y Negocios.

    Volume (Year): 12 (2015)
    Issue (Month): 1 (Enero-Junio)
    Pages: 125-144

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    Handle: RePEc:qua:journl:v:12:y:2015:i:1:p:125-144
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    Web page: http://econoquantum.cucea.udg.mx

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