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Portafolio óptimo y productos estructurados en mercados a-estables: un enfoque de minimización de riesgo

Author

Listed:
  • Climent Hernández, José A.

    (Universidad Autónoma Metropolitana)

  • Venegas Martínez, Francisco

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

  • Ortiz Arango, Francisco

    (Escuela de Ciencias Económicas y Empresariales, Universidad Panamericana)

Abstract

This paper is aimed at studying the optimal portfolio problem when the assets have returns from a-stable distributions. The optimal portfolio contains a riskless asset and various risky assets, including structured notes. The basic statistics of the assets are calculated and both the a-stable distribution parameters and the covariation matrix are estimated through maximum likelihood. Finally, it is shown that by including structured notes in the a-stable optimal portfolio it is obtained higher returns, lower risk and better performance than Gaussian optimal portfolio.

Suggested Citation

  • Climent Hernández, José A. & Venegas Martínez, Francisco & Ortiz Arango, Francisco, 2015. "Portafolio óptimo y productos estructurados en mercados a-estables: un enfoque de minimización de riesgo," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, vol. 0(2), pages 81-106.
    • Handle: RePEc:ris:rnicee:0098
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    Cited by:

    1. José Antonio Climent-Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables Minimum dispersion portfolios with log-stable returns," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.

    More about this item

    Keywords

    optimal portfolio; risk aversión; risk measure; a-stable distribution; gaussian;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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