Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado
| Contribuinte(s) |
Castro Iragorri, Carlos |
|---|---|
| Data(s) |
17/08/2014
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| Resumo |
En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada, para posteriormente hacer un análisis comparativo frente al modelo de Markowitz. In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
spa |
| Publicador |
Facultad de Economía |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR K. Aas (1995), NIG and Skew Student's t: Two Special Cases of the Generalized Hyperbolic Distribution, Norwegian Computing Center. M. Abramowitz (1970), Handbook of Mathematical Functions, NY: Dover Publications. P. Artzner, F. Delbaen, J. Eber, D. Heath (1999), Coherent measures of risk, Math., pp 203-228. T. Bali (2007), Value at risk and the cross{section of hedge, Journal of banking nance, pp 1135-1166. T. Bali (2004), approaches to estimating VaR for hedge fund, Risk Books. Barndor-Nielsen (1977), Exponentially decreasing distributions for the loga- rithm of the particle size, Proceedings of the Royal Society. Barndor-Nielsen (1997), Normal inverse Gaussian distributions and sto- chastic, Scandinavian Journal of Statistics, pp 1-13. Barndor-Nielsen (1997), Processes of normal inverse gaussian type, Springer, pp 41-68. N. Bingham, R. Kiesel (1991), Modelling Asset Returns With Hyperbolic Distributions. W. Breymann, A. Dias, P. Embrechts (2003), Depedence Structures for Multivariate High Frecuency Data in Finance Quantitative Finance, pp 1-14. W. Breymann (2008), Measuring Risk of Short Return Series with an Application to Fund of Hedge Funds Data. R. Browne, P. McNicholas (2013), A Mixture of Generalized Hyperbolic Distributions, Cornell University Library. E. Eberlein, U. Keller, K. Prause (1998), New insights into smile, mispri- cing and value at risk, Journal of Business, pp 371-405. E. Giorgi (2014), On the Computation of Multivariate Scenario Sets for the Skew-t and Generalized Hyperbolic Families. D. Goldfarb, A. Idnani (1983), A Numerically Stable Dual Method for Sol- ving Strictly Convex Quadratic Programs, Mathematical Programming. B. Halld orsson, R. T ut unc u (2003), An interior-point method for a class of saddle-point, Journal of Optimization Theory and Applications, pp 559-590. M. Hellmich, S. Kassberger (2009), E cient and Robust Portfolio Optimization in the Multivariate Generalized Hyperbolic Distribution. W. Hu (2005), Calibration of Multivariate Generalized Hyperbolic Distribution Using EM Algorthm, With Applications In Risk Management, Portfolio Optimization And Portfolio Credit Risk, Electronic Theses, Treatises and Dissertations. S. Kassberger (2006), A fully parametric approach to return modelling Fi- nancial markets and portfolio management, pp 472-491. S. Kim, S, Boyd (2007), Robust E cient Frontier Analysis with a Separable Uncertanty Model, Standford University. R. Korn (2005), Optimal Portfolios: New Variations of an Old Theme, Springer. C. Liu (1994), The ECME algorithm A simple extension of EM and ECM with faster,Biometrika, pp 633-648. A. McNeil (2005), Quantitative Risk Management: Concepts, Techniques and Tools, Princeton U. M. Paolella (2007), Intermediate probability: A computational approach. K. Prause (1999), The Generalized Hyperbolic Model: Estimation Financial Derivatives. T. Rockafellar, S. Uryasev (1999), Optimization of Conditional Value at Risk. D. Scott, D. W urtz (2009), Moments of the Generalized Hyperbolic Distribution, Z urich. R. Slevinsky, D. W urtz (2010), A recursive Algorithm for the G Transformation and Accurate Computation of Incomplete Bessel Function, Applied Numeric Mathematics. B. Taylor (2011), Nonparametric Goodness-of-Fit Tests for Discrete Null Distributions, The R Journal, pp 34-39. R. T ut unc u, M. Koenig (2004), Robust asset allocation, Annals of Operations Research, pp 157-187. |
| Palavras-Chave | #Mercados #Mercado de valores #Finanzas #Economía #381 #Generalized Hyperbolic Distribution #Portfolio Selection #Robust Portfolio selection #Conditional Value at Risk #Worse Case Conditional Value at Risk #Asset Allocation #Risk Management #Markowitz Portfolio Selection #Multi-cicle, Expectation, and Conditional Estimation Method |
| Tipo |
info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion |
