<?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>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462017000200049</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Portafolios de dispersión mínima con rendimientos log-estables]]></article-title>
<article-title xml:lang="en"><![CDATA[Minimum Dispersion Portfolios with Log-Stable Returns]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Climent-Hernández]]></surname>
<given-names><![CDATA[José Antonio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana Departamento de Economía ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2017</year>
</pub-date>
<volume>12</volume>
<numero>2</numero>
<fpage>49</fpage>
<lpage>69</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462017000200049&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462017000200049&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462017000200049&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Se analiza el problema de optimación de un portafolio con n activos cuando los rendimientos están modelados con procesos log-estables, el objetivo es calcular la diversificación de recursos de un producto estructurado considerando la duración y la convexidad de los mercados de deuda y la no linealidad de los mercados de opciones a traves del modelo media-dispersión, comparando los resultados con la distribución loggaussiana; encontrando que los portafolios log-estables presentan mayor aversión al riesgo que los portafolios log-gaussianos, los inversionistas log-estables mejoran las medidas de desempeño log-gaussianas, la aproximación cuadrática presenta un comportamiento semejante al portafolio óptimo cuadrático, favoreciendo la toma de decisiones; las distribuciones log-estables tienen la limitante porque presentan diferentes parámetros de estabilidad mientras que la distribución conjunta log-gaussiana tiene un parámetro de estabilidad único, entonces las asignaciones presentan diferencias por los componentes de riesgo; las innovaciones se presentan al modelar los mercados de deuda y los mercados de opciones, considerando los factores de participación del producto estructurado; concluyendo que los inversionistas que utilizan modelos log-estables son más eficientes que los que utilizan el modelo log-gaussiano.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The optimization problem of a portfolio with n risky assets is analyzed when the returns are modeled with log-stable processes . The objective is to optimize the asset allocation of a structured product, considering both the duration and convexity of the debt markets and the nonlinearity of the option markets through a mean-dispersion model, comparing the results with the log-gaussian distribution. We find that log-stable portfolios show a greater risk aversion than log-gaussian portfolios, given that log-stable investors improve log-gaussian performance measures; the quadratic approximation displays a behavior similar to the optimal quadratic portfolio, favoring decision making. The log-stable distributions have a limitation because they present different stability parameters, whereas the log-gaussian joint distribution has a unique stability parameter, and therefore, the assignments present differences by means of the risk components. Our contribution comes from the fact that we are modeling the debt markets and option markets, considering the participation factors of the structured product. We conclude that log-stable investors are more efficient than log-gaussian investors.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Portafolio óptimo]]></kwd>
<kwd lng="es"><![CDATA[Medida de riesgo]]></kwd>
<kwd lng="es"><![CDATA[Distribuciones &#945;-estables]]></kwd>
<kwd lng="en"><![CDATA[Optimal Portfolio]]></kwd>
<kwd lng="en"><![CDATA[Risk Measure]]></kwd>
<kwd lng="en"><![CDATA[&#945;-Stable Distributions]]></kwd>
</kwd-group>
</article-meta>
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