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Portafolios ?-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM

Author

Listed:
  • José Antonio Climent Hernández

    (Universidad Autónoma Metropolitana, México)

  • Gabino Sánchez Arzate

    (Instituto Politécnico Nacional, México)

  • Ambrosio Ortiz Ramírez

    (Instituto Politécnico Nacional, México)

Abstract

Objetivo: Esta investigación extiende los portafolios de Markowitz, Tobin, y el CAPM con procesos ?-estables. Metodología: son realizados los siguientes procedimientos en un portafolio con los índices bursátiles del G20: 1) son estimados los estadísticos descriptivos y los parámetros ?-estables de los rendimientos, 2) es aplicada una prueba de bondad de ajuste para validar los procesos ?-estables, 3) es estimada la matriz de covariación para calcular las asignaciones de los portafolios, y 4) son estimados los indicadores de riesgo sistemático. Resultados: La frontera eficiente es calculada sin ventas en corto y muestra que los portafolios ?-estables presentan mayor aversión al riesgo que los portafolios gaussianos, y que los portafolios ?-estables son más eficientes con respecto a la relación rendimiento y riesgo. Recomendaciones: La aplicación de procesos ?-estables para modelar la leptocurtosis, la asimetría y los cúmulos de volatilidad. Limitaciones: El análisis multivariado ?-estable presenta diferentes parámetros de estabilidad. Originalidad: Los rendimientos del G20 son modelados con procesos ?-estables y es realizado un análisis de sensibilidad. Conclusión: El análisis ?-estable permite cuantificar el riesgo de mercado más adecuadamente que el análisis gaussiano.

Suggested Citation

  • José Antonio Climent Hernández & Gabino Sánchez Arzate & Ambrosio Ortiz Ramírez, 2021. "Portafolios ?-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-28, Octubre -.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:4:a:9
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    References listed on IDEAS

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    More about this item

    Keywords

    Portafolio óptimo; medida de riesgo; distribuciones ?-estables;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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