Portafolios del mercado bursátil mexicano que minimizan una medida coherente de riesgo sujeto a restricciones de rendimientos esperados y ventas en corto

Optimal portfolios in the Mexican stock market minimizing a coherent measure of risk subject to expected returns and short sales constraints

Claudia Ivett Covarrubias-Sánchez, Isela-Elizabeth Téllez-León and Francisco Venegas-Martínez

MPRA Paper from University Library of Munich, Germany

Abstract: Resumen: Este trabajo obtiene portafolios óptimos formados con activos de mercado mexicano de capitales que minimizan una medida coherente de riesgo sujetos a restricciones sobre rendimientos esperados y ventas en corto. Particularmente, se utiliza como función objetivo el Valor en Riesgo Condicional (CVaR) de acuerdo con la metodología propuesta por Rockafellar y Uryasev (2000). Esto permite calcular los pesos óptimos (proporciones óptimas) de cualquier signo para el CVaR a diferentes niveles de confianza mediante un problema de programación lineal. Por último se muestra evidencia empírica de que, en el caso mexicano, el CVaR óptimo con pesos no negativos proporciona mejores resultados que el VaR durante el periodo 2014-2016. / Abstract: This paper is aimed at obtaining optimal portfolios formed with assets from the Mexican stock market that minimize a coherent measure of risk subject to contraints on expected returns and short sales. In particular, the Conditional Value at Risk (CVaR) is used as the objective function according to the methodology proposed by Rockafellar and Uryasev (2000). This allows to calculate the optimal weights (optimal proportions) of any sign for the CVaR at different levels of confidence through a linear programming problem. Finally, empirical evidence shows that, in the Mexican case, the optimal CVaR with nonnegative weights provides better results than those from VaR during the period 2014-2016.

Keywords: Portafolios óptimos de acciones; riesgo de mercado; medidas de riesgo; medida coherente de riesgo. / Stock optimal portfolios; market risk; risk measures; coherent measure of risk (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2018-03-23
New Economics Papers: this item is included in nep-rmg
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