Estimación robusta de la matriz de covarianza para la selección óptima de portafolios de inversión

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dc.citation.journalTitleDYNA-COLOMBIAeng
dc.contributor.authorGutiérrez-Sepúlveda D.
dc.contributor.authorLaniado H.
dc.contributor.authorMedina-Hurtado S.
dc.contributor.departmentUniversidad EAFIT. Escuela de Cienciasspa
dc.contributor.researchgroupModelado Matemáticospa
dc.date.accessioned2021-04-12T14:07:16Z
dc.date.available2021-04-12T14:07:16Z
dc.date.issued2018-01-01
dc.description.abstractThe selection of portfolios under the Media-Variance (M-V) model work bad when it is exposed to the presence of atypical data that generate error estimation of the parameters In order to minimize this estimation error, we investigate new robust methodologies and their financial performance in terms off the ratio Sharpe, of the turnover index and of the variance. The estimation of the covariance matrix parameter is done with three different robust methods that seek to minimize the instability generated by atypical data, the first is the great contribution of this research, which consists in shrinking the covariance matrix with a cut-out to the mean, the second and third methods are chi-square cut-outs in the distance of Mahalanobis and Minimum Determinant of the Covariance Matrix (MCD) respectively. © The author; licensee Universidad Nacional de Colombia.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=8633
dc.identifier.doi10.15446/dyna.v85n207.74883
dc.identifier.issn0127353
dc.identifier.otherSCOPUS;2-s2.0-85062676629
dc.identifier.urihttp://hdl.handle.net/10784/27803
dc.language.isospaeng
dc.publisherUNIV NAC COLOMBIA, FAC NAC MINAS
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85062676629&doi=10.15446%2fdyna.v85n207.74883&partnerID=40&md5=9b368773581da4cfef6de76ffb49de0a
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/0012-7353
dc.sourceDYNA-COLOMBIA
dc.subject.keywordMahalanobis distanceeng
dc.subject.keywordMatrix covariance shrinkageeng
dc.subject.keywordMinimum covariance determinant-MCDeng
dc.subject.keywordRobust covariance matrixeng
dc.subject.keywordRolling horizoneng
dc.subject.keywordTrimmeaneng
dc.titleEstimación robusta de la matriz de covarianza para la selección óptima de portafolios de inversiónspa
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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