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

José Climent Hernández (), Francisco Venegas Martínez () and Francisco Ortiz Arango ()
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Francisco Venegas Martínez: Escuela Superior de Economía, Instituto Politécnico Nacional
Francisco Ortiz Arango: Escuela de Ciencias Económicas y Empresariales, Universidad Panamericana

Authors registered in the RePEc Author Service: Francisco Venegas-Martínez () and Francisco Ortiz-Arango ()

Revista Nicolaita de Estudios Económicos, 2015, vol. X, issue 2, 81-106

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.

Keywords: optimal portfolio; risk aversión; risk measure; a-stable distribution; gaussian (search for similar items in EconPapers)
JEL-codes: C46 C61 D81 G11 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ris:rnicee:0098

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