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http://hdl.handle.net/10553/48507
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. | URI: | http://hdl.handle.net/10553/48507 | ISSN: | 0210-2412 | Source: | Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 28, p. 937-966 |
Appears in Collections: | Artículos |
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