Abstract
En este artículo desarrollamos la implementación de la estimación de la distribución hiperbólica generalizada multivariada (GH) con el parámetro de la función no fija de Bessel. La matriz de covarianzas estimada mediante GH complementa el procedimiento de Markowitz para construir un portafolio eficiente y reduce el coeficiente de variación del rendimiento esperado. La muestra de datos comprende las acciones que conforman el índice OMX Stockholm 30 para el periodo entre enero de 2010 y abril de 2014.
Covariances matrix under the multivariate-Gh funtion todesing portfolios
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.
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