Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo
Optimal Portfolio and Structured Notes in alpha-stable Markets: a Risk Minimization Approach
José Antonio Climent-Hernández,
Francisco Venegas-Martínez () and
Francisco Ortiz-Arango ()
Authors registered in the RePEc Author Service: José Antonio Climent Hernández ()
MPRA Paper from University Library of Munich, Germany
This paper is aimed at studying the optimal portfolio problem when the assets have returns from α-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 α-stable distribution parameters and the covariation matrix are estimated through maximum likelihood. Finally, it is shown that by including structured notes in the α-stable optimal portfolio it is obtained higher returns, lower risk and better performance than Gaussian optimal portfolio.
Keywords: Optimal portfolio; risk aversion; alpha-stable distribution. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57740
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