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Title: Formación de carteras con riesgo condicionado: una aplicación empírica al mercado de valores español
Authors: Acosta González, Eduardo 
López-Valcárcel, Beatriz González 
UNESCO Clasification: 531206 Finanzas y seguros
Keywords: Seguros
Mercado de valores
Issue Date: 1999
Publisher: 0210-2412
Journal: Revista Española de Financiación y Contabilidad 
Abstract: We examine the repercussions of a methodological approach to selecting portfolio risk premias, based on the generalized portfolio models of Markowitz [1952] and Sharpe [1963], in which we suggest a time-varying variance-covariance matrix of the individual stock returns and modeling then as ARCH (Autoregressive Conditional Heteroscedasticity) models [Engle (1982)]. Moreover, we carry out an empirical application using this methodology To do this we use the pricing data of the 71 individual securities with the highest trading volume and frecuency trading in the Spanish Stock Market. The full sample goes from April 10, 1991 to December 31, 1993, inclusive.
ISSN: 0210-2412
Source: Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 28, p. 937-966
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