IDEAS home Printed from https://ideas.repec.org/a/msn/rijrnl/v6y2020i1p130-154.html
   My bibliography  Save this article

Los nuevos índices sectoriales de la Bolsa Mexicana de Valores y la diversificación sectorial

Author

Listed:
  • José Antonio Morales Castro

    (Instituto Politécnico Nacional)

  • Francisco López-Herrera

    (Universidad Nacional Autónoma de México)

Abstract

Se analiza la relación riesgo-rendimiento de los nuevos índices sectoriales de la Bolsa Mexicana de Valores y de portafolios con esos índices seleccionados mediante el análisis de media y varianza y el criterio de optimización media-CVaR. Se usaron tres medidas de desempeño comparativo: (1) Índice de Sharpe, (2) recompensa al VaR y (3) la recompensa al CVaR. Se encontraron portafolios de los nuevos índices bursátiles con un rendimiento mayor que el portafolio del mercado, pero con menor riesgo que éste. Con excepción del índice del sector de la construcción, todos los nuevos índices sectoriales tienen mejores relaciones riesgo-rendimiento que el portafolio de mercado, incluso a pesar de que pueden considerarse como portafolios menos diversificados que él.

Suggested Citation

  • José Antonio Morales Castro & Francisco López-Herrera, 2020. "Los nuevos índices sectoriales de la Bolsa Mexicana de Valores y la diversificación sectorial," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 6(1), pages 130-154, December.
    • Handle: RePEc:msn:rijrnl:v:6:y:2020:i:1:p:130-154
    as

    Download full text from publisher

    File URL: https://ricca.umich.mx/index.php/ricca/article/view/54/60
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:msn:rijrnl:v:6:y:2020:i:1:p:130-154. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/famicmx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.