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Portfolio Construction Based on Implied Correlation Information and Value at Risk

Author

Listed:
  • Jesus
  • Rogel - Salazar

    () (University of Hertfordshire.)

  • Roberto Tella

Abstract

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.

Suggested Citation

  • Jesus & Rogel - Salazar & Roberto Tella, 2015. "Portfolio Construction Based on Implied Correlation Information and Value at Risk," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 12(1), pages 125-144, Enero-Jun.
  • Handle: RePEc:qua:journl:v:12:y:2015:i:1:p:125-144
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    More about this item

    Keywords

    Correlacion implicita; Valor en riesgo; Construccion de portafolios; Riesgo.;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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