EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/57740/1/MPRA_paper_57740.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2022-06-10
Handle: RePEc:pra:mprapa:57740