Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo

Climent-Hernández, José Antonio and Venegas-Martínez, Francisco and Ortiz-Arango, Francisco (2014): Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo.

Abstract

This paper is aimed at studying the optimal portfolio problem when the assets have returns from α-stable distributions. The optimal portfolio contains a riskless asset and various risky assets, including structured notes. The basic statistics of the assets are calculated and both the α-stable distribution parameters and the covariation matrix are estimated through maximum likelihood. Finally, it is shown that by including structured notes in the α-stable optimal portfolio it is obtained higher returns, lower risk and better performance than Gaussian optimal portfolio.

• Item Type: MPRA Paper
• English Title: Optimal Portfolio and Structured Notes in alpha-stable Markets: a Risk Minimization Approach
• Language: Spanish
• Keywords: Optimal portfolio, risk aversion, alpha-stable distribution.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

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