Resumo

SOSA CASTRO, Magnolia Miriam; CABELLO ROSALES, Alejandra  e  ORTIZ CALISTO, Edgar. Construction of conditional vs. traditional portfolios; Application to the Latin American Integrated Market (MILA). Contad. Adm [online]. 2024, vol.69, n.1, e433.  Epub 27-Out-2025. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2023.4911.

This paper aims to propose the construction of portfolios using conditional parameters obtained with univariate and multivariate GARCH models under the t-Student distribution. For the design of the optimal portfolios, the MILA (Latin American Integrated Market) indexes from 2017 to 2022 are used. The results reveal that conditional portfolios have a better risk-return ratio and lower risk exposure (measured by Value at Risk) compared to traditional portfolios. Empirical evidence is crucial for developing international investment strategies in emerging markets.

Palavras-chave : conditional portfolios; Latin American integrated market; GARCH models; dynamic conditional correlation model.

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