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| Date: Thursday, March 21 |
Session: 78 |
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Ricardo Tagliafichi
curriculum
Argentina |
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Paper |
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Betas calculated with Garch models provides new parameters for a Portfolio selection with an Efficient Frontier |
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Presentation |
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Summary
This paper is a summary of the appliance of the Arch models in the selection of as best Portfolio. Assumed that the returns not follows the behavior of the classical hypothesis applied to the capital markets, I consider the application of non-linear models to the CAPM to detect the presence of the heterocedasticity in the series with the objective to obtain robust estimators for calculate the best Portfolio with maximum benefit and minimum volatility.
The model of a selection a portfolio using the excess on beta, with beta estimated with traditional econometric model and betas estimated with the intervention of Garch effects. The comparison analysis with an Efficient Frontier is presented in this paper. |
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| Ricardo Tagliafichi |
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Curriculum
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| Actuary. Master in Business Administration. Professor of Statistics for Actuaries, Statistics for Business Administration and Financial Mathematics in the University of Buenos Aires, Faculty of Economics. Professor of financial Mathematics and Software Applied to finance in University of Palermo, Faculty of Economics and Business Administration. Professor of Investments and Financial Econometric, MBA in finance, University of Palermo. .Member of the Global Association of Risk Professionals. External consultant in Value at Risk, Credit Risk and Operational Risk. |
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