Matriz de covarianza bajo la familia hiperbólica generalizada y la construcción de portafolios

José Antonio Núñez Mora; Leovardo Mata Mata

doi:10.1016/j.cya.2015.11.009

Matriz de covarianza bajo la familia hiperbólica generalizada y la construcción de portafolios

Translated title of the contribution: Covariances matrix under the multivariate-Gh funtion to desing portfolios

José Antonio Núñez Mora, Leovardo Mata Mata

Instituto Tecnologico de Estudios Superiores de Monterrey

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we developed the estimation implementation of the generalized hyperbolic multivariate (GH) distribution with a non-fixed Bessel function. The covariance matrix estimated through the GH distribution complements the use of the Markowitz procedure to construct an efficient portfolio and reduce the variation coefficient of the expected return. The data are from the Stockholm index 30 from January 2010 to April 2014.

Translated title of the contribution	Covariances matrix under the multivariate-Gh funtion to desing portfolios
Original language	Spanish
Pages (from-to)	535-550
Number of pages	16
Journal	Contaduria y Administracion
Volume	61
Issue number	3
DOIs	https://doi.org/10.1016/j.cya.2015.11.009
State	Published - 1 Jul 2016
Externally published	Yes

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10.1016/j.cya.2015.11.009

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title = "Matriz de covarianza bajo la familia hiperb{\'o}lica generalizada y la construcci{\'o}n de portafolios",

abstract = "In this paper we developed the estimation implementation of the generalized hyperbolic multivariate (GH) distribution with a non-fixed Bessel function. The covariance matrix estimated through the GH distribution complements the use of the Markowitz procedure to construct an efficient portfolio and reduce the variation coefficient of the expected return. The data are from the Stockholm index 30 from January 2010 to April 2014.",

keywords = "Covariance matrix, Expectation-maximization algorithm, Generalized hyperbolic distribution, Markowitz portfolio",

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note = "Publisher Copyright: {\textcopyright} 2015 Universidad Nacional Aut{\'o}noma de M{\'e}xico, Facultad de Contadur{\'i}a y Administraci{\'o}n.",

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AU - Núñez Mora, José Antonio

AU - Mata Mata, Leovardo

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N2 - In this paper we developed the estimation implementation of the generalized hyperbolic multivariate (GH) distribution with a non-fixed Bessel function. The covariance matrix estimated through the GH distribution complements the use of the Markowitz procedure to construct an efficient portfolio and reduce the variation coefficient of the expected return. The data are from the Stockholm index 30 from January 2010 to April 2014.

AB - In this paper we developed the estimation implementation of the generalized hyperbolic multivariate (GH) distribution with a non-fixed Bessel function. The covariance matrix estimated through the GH distribution complements the use of the Markowitz procedure to construct an efficient portfolio and reduce the variation coefficient of the expected return. The data are from the Stockholm index 30 from January 2010 to April 2014.

KW - Covariance matrix

KW - Expectation-maximization algorithm

KW - Generalized hyperbolic distribution

KW - Markowitz portfolio

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ER -

Matriz de covarianza bajo la familia hiperbólica generalizada y la construcción de portafolios

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