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Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management

Author

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  • Martínez Patiño, Manuel Andrés

    (Universidad de la Salle (Bogotá, Colombia))

  • Ariza Garzón, Miller Janny

    (Universidad Piloto de Colombia (Bogotá, Colombia))

  • Cadena Lozano, Javier Bernardo

    (Colegio de Estudios Superiores de Administración (Bogotá, Colombia))

Abstract

En este artículo se analiza el comportamiento de los retornos de algunos activos del MILA (Mercado Integrado Latinoamericano), con el objetivo de buscar evidencia de persistencia y evaluar el impacto de su presencia en la toma de decisiones de carteras de inversión. Se usó la metodología del rango reescalado en la estimación del coeficiente de Hurst como una medida de la persistencia y se comprueban los resultados con el ajuste de Anis y Lloyd y la estimación de Higuchi. Se incluye un proceso inferencial sobre el coeficiente de Hurst para cada uno de los activos analizados. Comparamos el desempeño de optimizar portafolios incluyendo estimaciones de persistencia y los resultados de su inferencia con portafolios gestionados bajo independencia. Se observa una mejor relación de riesgo-rendimiento al incluir el patrón de persistencia, solo cuando la inferencia así lo evidencia.|| In this article, the behavior of the returns of some assets of MILA is analyzed, with the objective of looking for evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results are verified with the adjustment of Anis and Lloyd and the estimation of Higuchi. An inferential process is added to the Hurst coefficient for each of the assets analyzed. The performance of portfolio optimization including estimates of persistence and the results of its inference were compared with independently optimized portfolios. A better risk-return relationship is observed by including the pattern of persistence, only when the inference is supported by evidence.

Suggested Citation

  • Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
    • Handle: RePEc:pab:rmcpee:v:32:y:2021:i:1:p:66-82
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.4122
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    References listed on IDEAS

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    More about this item

    Keywords

    persistencia; dependencia a largo plazo; rango reescalado; optimización de portafolios; coeficiente de Hurst; persistence; long term dependency; rescaled rank; portfolio optimization; Hurst estimation;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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