<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422021000400114</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2021.2966</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Portafolios de inversión de los índices de actividad económica de rendimiento total de la Bolsa Mexicana de Valores: portafolio de media-varianza vs portafolio Cópula-GARCH]]></article-title>
<article-title xml:lang="en"><![CDATA[Investment portfolios of the total return economic activity indices of the Mexican Stock Exchange: mean-variance portfolio vs Copula-GARCH portfolio]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Olivares Aguayo]]></surname>
<given-names><![CDATA[Héctor Alonso]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Bucio Pacheco]]></surname>
<given-names><![CDATA[Christian]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Martínez Vázquez]]></surname>
<given-names><![CDATA[David Conaly]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad La Salle México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma del Estado de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>4</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000400114&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000400114&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000400114&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El objetivo de la investigación es mostrar que existe una subestimación del riesgo y del rendimiento en el modelo de media-varianza de portafolios de inversión de Merton respecto a una adecuación al modelo considerando cópula-GARCH-t-Student. Se estiman portafolios de inversión de media-varianza compuestos por los Índices de Actividad Económica de Rendimiento Total de la Bolsa Mexicana de Valores en el periodo 2010-2020 con datos diarios. Los resultados de esta investigación, a través de la evidencia empírica muestran que el modelo de Merton y el de cópula-GARCH-gaussiana subestima el rendimiento y el riesgo, en comparación al portafolio ajustado vía cópula-GARCH-t-Student. Se recomienda que el inversionista opte por este tipo de portafolios para que obtenga mayores beneficios. Las limitaciones son que los modelos presentados en esta investigación asumen comportamiento gaussiano. La originalidad del trabajo es que actualmente en México existe una escasa literatura de portafolios con cópulas-GARCH. Se concluye que el modelo de Merton al igual que el de cópula-GARCH-gaussiana subestiman el riesgo y el rendimiento para el caso de los Índices de Actividad Económica de Rendimiento Total de la Bolsa Mexicana de Valores.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The main objective of this research is to show that there is underestimation of the risk and the return in the mean-variance model of Merton&#8217;s investment portfolios with respect to a modification of the model taking into account the t-Student copula-GARCH. Mean-variance investment portfolios are estimated for Total Return Economic Activity Indices of the Mexican Stock Exchange in the period 2010-2020 with daily data. The results of this research, through empirical evidence, shows that Merton´s model and Gaussian copula-GARCH model underestimate return and risk, compared to the adjusted portfolio through t-Student copula-GARCH. It is suggested that the investor chooses these kind of portfolios in order to get highger returns. Limitations are that the models herein are considered to have a Gaussian behavior. The originality of this research is that nowadays is a lack of literature about portfolios with copula-GARCH in Mexico. The conclusion is that the Merton&#8217;s model and Gaussian copula-GARCH model underestimate the risk and the return specifically for the Total Return Economic Activity Indices of the Mexican Stock Exchange.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Teoría de portafolios]]></kwd>
<kwd lng="es"><![CDATA[Teoría de cópulas]]></kwd>
<kwd lng="es"><![CDATA[Modelos GARCH]]></kwd>
<kwd lng="en"><![CDATA[Portfolio Theory]]></kwd>
<kwd lng="en"><![CDATA[Copula Theory]]></kwd>
<kwd lng="en"><![CDATA[GARCH Models]]></kwd>
</kwd-group>
</article-meta>
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