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Teorías sobre cobertura con contratos de futuro

Author

Listed:
  • Vicent Aragó Manzana

Abstract

En este trabajo se presenta una revisión de las principales teorías sobre cobertura con contratos de futuro y de los distintos métodos de estimación utilizados para determinar el ratio de cobertura óptimo. La aproximación a la cobertura más utilizada en la literatura especializada es la basada en el modelo de la teoría de carteras.No obstante, debido a sus hipótesis relacionadas con la función de utilidad del inversor y con las propiedades de la función de distribución de los rendimientos, XI han surgido nuevas propuestas (por ejemplo, las construidas a partir del coeficiente de Gini y el concepto de Lower Partial Moments), que intentan reducir dichas restricciones.

Suggested Citation

  • Vicent Aragó Manzana, 2009. "Teorías sobre cobertura con contratos de futuro," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, June.
    • Handle: RePEc:col:000093:005897
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/50/v28n50_arago_2009.pdf
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    Citations

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    Cited by:

    1. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
    2. Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.

    More about this item

    Keywords

    contratos de futuros; ratio de cobertura óptimo; Coeficiente de Gini; Lower Partial Moments; Modelos GARCH; Cointegración; Ratio de cobertura de mínima varianza.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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