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Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas

Author

Listed:
  • Aguilar-Juárez, Isabel Patricia.

    (Universidad Nacional Autónoma de México)

  • Venegas-Martínez, Francisco.

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

Abstract

El presente trabajo desarrolla una estrategia de inversión compuesta por un portafolio de notas estructuradas. El portafolio considera dos dimensiones: primero, una vertical que consiste en la combinación de notas estructuradas con el mismo periodo de vigencia que garanticen un flujo de efectivo pronosticable al vencimiento de esta estructura, y una dimensión horizontal que considera la integración en la estructura final de una nueva nota estructurada cuya vigencia inicia al vencimiento de la estructura vertical. Esta estructuración permite actualizar el precio del activo subyacente en el trans- curso de la vigencia de la estructura propuesta, así como ampliar el plazo de la inversión, garantizando el capital inicial y ofreciendo la posibilidad de un rendimiento mayor al del mercado con bajo nivel de riesgo. Por último, con fines ilustrativos, se desarrolla en detalle una aplicación de la propuesta y se compara con otras alternativas disponibles en el mercado./ This paper is aimed at developing an investment strategy consisting of a portfolio of structured notes. The portfolio considers two dimensions: first, a vertical dimension consisting of a combination of structured notes with the same duration to ensure predictable cash flow at maturity of this structure, and a horizontal dimension considering the integration into the final structure of a new structured note whose term begins upon the expiration of the vertical structure. This structure allows updating the price of the underlying asset during the term of the proposed structure, as well as extending the term of the investment, ensuring the initial capital and offering the pos- sibility of higher returns than the market with low risk. Finally, for illustra- tive purposes it is developed in detail an application of the proposal and compared with other alternatives available on the market.

Suggested Citation

  • Aguilar-Juárez, Isabel Patricia. & Venegas-Martínez, Francisco., 2015. "Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(20), pages 7-46, primer se.
    • Handle: RePEc:ipn:panora:v:x:y:2015:i:20:p:7-46
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    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    2. Venegas-Martínez, Francisco, 2007. "Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(295), pages 615-661, julio-sep.
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    More about this item

    Keywords

    notas estructuradas; inversión privada; portafolios./ structured notes; private investment; portfolios.;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing

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