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Distribuciones no normales para la selección de activos en el mercado Colombiano

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  • Andrés Felipe Galeano Zurbaran

Abstract

Modelos tradicionales para la construcción de portafolios son desarrollados sobre distribuciones normales. Un ejemplo de esto es la frontera eficiente propuesta por Markowitz, la cual solo incorpora los dos primeros momentos de la distribución (media-varianza) para la construcción de portafolios eficientes. Lo anterior requiere, al menos, que los portafolios posean una distribución elíptica. Adicionalmente, modelos de serie de tiempo se construyen frecuentemente sobre errores normales. Sin embargo, abundantes estudios rechazan la presencia de normalidad en mercados financieros e incluso literatura reciente ha encontrado que los retornos de índices accionarios colombianos exhiben distribuciones no normales. Considerando la evidencia literaria de distribuciones de los activos del mercado colombiano, modelos que no se restrinjan a distribuciones normales deberían generar mejores asignaciones de portafolio. El presente artículo demuestra que los retornos del mercado colombiano no siguen distribuciones normales y que, a través de la construcción de cópulas t y marginales logísticas e hiperbólicas generalizada, se supera ampliamente los métodos de estimación bajo normalidad. Adicionalmente, el estudio encuentra que la mayoría de activos mantienen una clase de distribución en el tiempo. Finalmente, se concluye que bajo distribuciones no-normales las fronteras eficientes no son necesariamente maximizadoras de utilidad y que el uso distribuciones no-normales generan retornos anuales entre 1% y 3% por encima de los retornos bajo distribuciones normales en el mercado accionario colombiano durante el periodo 2009-2016. Aunque el retorno per se no es el objetivo, el principal hallazgo consiste en que los portafolios construidos mediante supuestos normales, resultan ineficientes en un universo de distribuciones no-normales. Adicionalmente, se observa que los portafolios bajo distribuciones normales no se adecúan correctamente a los niveles de tolerancia por riesgo de los inversionistas, al no calibrar correctamente la distribución de resultados posibles.

Suggested Citation

  • Andrés Felipe Galeano Zurbaran, 2018. "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo 17208, Quantil.
    • Handle: RePEc:col:000508:017208
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    More about this item

    Keywords

    Cópula; Optimización de Portafolio; Garch; no-normales; Frontera Eficiente.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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