Covariances matrix under the multivariate-Gh funtion to desing portfolios

José Antonio Núñez Mora () and Leovardo Mata Mata
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José Antonio Núñez Mora: EGADE, Business School, Tecnologico de Monterrey, México
Leovardo Mata Mata: EGADE, Business School, Tecnologico de Monterrey, México

Contaduría y Administración, 2016, vol. 61, issue 3, 535–550

Abstract: In this paper we developed the estimation implementation of the generalized hyperbolic multivariate (GH) distribution with a non-fixed Bessel function. The covariance matrix estimated through the GH distribution complements the use of the Markowitz procedure to construct an efficient portfolio and reduce the variation coefficient of the expected return. The data are from the Stockholm index 30 from January 2010 to April 2014.

Keywords: Expectation-maximization algorithm; Generalized hyperbolic distribution; Markowitz portfolio; Covariance matrix (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:61:y:2016:i:3:p:535-550

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