Covariances matrix under the multivariate-Gh funtion to desing portfolios Matriz de covarianza bajo la familia hiperbólica generalizada y la construcción de portafolios Academic Article in Scopus uri icon

abstract

  • © 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración.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.

publication date

  • July 1, 2016