Covariances matrix under the multivariate-Gh funtion to desing portfolios
Original title: Matriz de covarianza bajo la familia hiperbólica generalizada y la construcción de portafolios
- José Antonio Núñez Mora(corresponding author),
- Instituto Tecnologico de Estudios Superiores de Monterrey,
- EGADE
Research Output:
Contribution to journal
Article
Peer-review
Open access
Publication Information
Output type
Research Output:
Contribution to journal
Article
Peer-reviewOriginal language
SpanishPages from-to (Number of pages)
Pages 535-550 (16 pages)Journal (Volume, Issue Number)
Contaduria y Administracion (Volume 61, Issue 3)Publication milestones
- Published - 2016
Publication status
Published - 2016
ISSN
0186-1042Publication IDs
- Scopus: 84961674906
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.
Access to documents
Publication metrics
PlumX, opens in new tab
Captures
22
Usage
2347
Social media
2