<?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>S1665-53462025000400004</article-id>
<article-id pub-id-type="doi">10.21919/remef.v20i4.1419</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Ingeniería financiera y portafolios óptimos con cambio de régimen]]></article-title>
<article-title xml:lang="en"><![CDATA[Financial Engineering and Optimal Portfolios with Regime Switching]]></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 contrib-type="author">
<name>
<surname><![CDATA[Rodríguez Benavides]]></surname>
<given-names><![CDATA[Domingo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Castillo Dieguez]]></surname>
<given-names><![CDATA[Roberto Yoan]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma de Querétaro  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2025</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2025</year>
</pub-date>
<volume>20</volume>
<numero>4</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462025000400004&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462025000400004&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462025000400004&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El trabajo tiene como objetivo aplicar un modelo de cambio de régimen de Markov con distribuciones &#945;-estables multivariadas para optimizar la selección de portafolios estimando los parámetros del modelo, utilizando los rendimientos logarítmicos de las cotizaciones diarias del IPC y el NAFTRAC para detectar regímenes de mercado. El modelo captura la asimetría y la leptocurtosis en cada régimen, identificando con los regímenes apreciado y devaluado, mostrando la efectividad del modelo para reflejar las dinámicas del mercado financiero mexicano. Se sugiere aplicar el modelo de cambio de régimen en la gestión de portafolios para mejorar la diversificación, la gestión del riesgo y para la evaluación continua de riesgos en diferentes condiciones de mercado. El modelo supone homogeneidad en los parámetros de transición entre regímenes, lo cual no es completamente realista, entonces es necesario incluir adaptaciones para contextos específicos y considerar otros factores macroeconómicos. La originalidad del trabajo radica en la integración de las distribuciones &#945;-estables multivariadas con cambio de régimen, proporcionando una herramienta para la gestión de riesgos financieros. El estudio concluye que el modelo propuesto es efectivo para capturar las características estadísticas de los rendimientos en diferentes regímenes de mercado, aportando significativamente al campo de la ingeniería financiera y la gestión de portafolios.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The work aims to apply a first order Markov regime switching model with multivariate &#945;-stable distributions to optimize portfolio selection by estimating the model parameters using time series of the logarithmic returns of the daily prices of the IPC and NAFTRAC to detect market regimes. The model captures asymmetry and leptokurtosis in each regime, identifying with the appreciated and depreciated regimes, demonstrating the model's effectiveness in reflecting the dynamics of the Mexican financial market. It is suggested to apply the Markov regime switching model in portfolio management to improve diversification, risk management, and for continuous risk assessment under different market conditions. The model assumes homogeneity in the transition parameters between regimes, which is not entirely realistic, so it is necessary to include adaptations for specific contexts and consider other macroeconomic factors. The originality of the work lies in the integration of multivariate &#945;-stable distributions with Markov regime switching, providing a tool for financial risk management. The study concludes that the proposed model is effective in capturing the statistical characteristics of returns in different market regimes, significantly contributing to the field of financial engineering and portfolio management.]]></p></abstract>
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<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[cambio de régimen]]></kwd>
<kwd lng="es"><![CDATA[distribuciones &#945;-estables]]></kwd>
<kwd lng="es"><![CDATA[selección de portafolio]]></kwd>
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<kwd lng="en"><![CDATA[C46]]></kwd>
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<kwd lng="en"><![CDATA[regime switchig]]></kwd>
<kwd lng="en"><![CDATA[&#945;-stable distribution]]></kwd>
<kwd lng="en"><![CDATA[portfolio chioce]]></kwd>
</kwd-group>
</article-meta>
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