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

Abstract: 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)
Date: 2014-08-03
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57740

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