Abstract

OLIVARES AGUAYO, Héctor Alonso; BUCIO PACHECO, Christian  and  MARTINEZ VAZQUEZ, David Conaly. Investment portfolios of the total return economic activity indices of the Mexican Stock Exchange: mean-variance portfolio vs Copula-GARCH portfolio. Contad. Adm [online]. 2021, vol.66, n.4, e2966.  Epub Sep 02, 2024. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2021.2966.

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’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’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.

Keywords : Portfolio Theory; Copula Theory; GARCH Models.

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