Título:

Using orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán

2013

2013

Autor (es):

De la Torre-Torres, Oscar V.

Revista:

Economía, teoría y práctica

Volumen:

​Número:

39

DOI/URL:

Páginas:

119-144

Palabras clave:

Asset pricing; financial forecasting and simulation; hypothe -; portfolio choice

Resumen:

This paper presents the usefulness of an active portfolio management process with ortho- gonal garch (ogarch) matrixes in order to achieve a 7.5% actuarial target return in defined benefit pension funds such as the Dirección de Pensiones Civiles del Estado de Michoacán. To prove this, four discrete event simulations were performed using, in the first scenario, a passive portfolio management process with a target position rebalancing discipline and, in the other three, an active portfolio management with a range portfolio rebalancing one. In these last three simulations, a constant covariance, a Gaussian distribution ogarch and a Student's t-distribution ogarch covariance matrix were used. The attained results suggest that the Student's t-distribution ogarch matrix is the most suitable for the investment process.

©2020 por Sitio web del Dr. Oscar De la Torre Torres. Creada con Wix.com