Building an investment portfolio using GARCH
In this paper we analyze investment portfolios of Chilean market, using the average model variance proposed by Markowitz, particularly using the variance-covariance matrix of unconditional and conditional, where the latter is estimated through GARCH models. Then, we evaluate the performance of these...
| Authors: | , |
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2012 |
| Country: | Perú |
| Institution: | Universidad Nacional Mayor de San Marcos |
| Repository: | Revistas - Universidad Nacional Mayor de San Marcos |
| Language: | Spanish |
| OAI Identifier: | oai:revistasinvestigacion.unmsm.edu.pe:article/6254 |
| Online Access: | https://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/6254 |
| Access Level: | Open access |
| Keyword: | portfolios GARCH evaluation. portafolios evaluación |
| Summary: | In this paper we analyze investment portfolios of Chilean market, using the average model variance proposed by Markowitz, particularly using the variance-covariance matrix of unconditional and conditional, where the latter is estimated through GARCH models. Then, we evaluate the performance of these portfolios using as a reference (benchmark) a market portfolio given by the general index of share prices (IGPA) of Chilean market. |
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