Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable

  1. Manuel Andrés Martinez Patiño 1
  2. Miller Janny Ariza Garzón 2
  3. Javier Bernardo Cadena Lozano 3
  1. 1 Universidad de la Salle (Colombia)
  2. 2 Universidad Piloto de Colombia
    info

    Universidad Piloto de Colombia

    Bogotá, Colombia

    ROR https://ror.org/03m5f7m65

  3. 3 Colegio de Estudios Superiores de Administración (Bogotá, Colombia)
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Revista:
Revista de métodos cuantitativos para la economía y la empresa

ISSN: 1886-516X

Ano de publicación: 2021

Volume: 32

Páxinas: 66-82

Tipo: Artigo

DOI: 10.46661/REVMETODOSCUANTECONEMPRESA.4122 DIALNET GOOGLE SCHOLAR lock_openAcceso aberto editor

Outras publicacións en: Revista de métodos cuantitativos para la economía y la empresa

Resumo

In this article, the behavior of the returns of some assets of MILA is analyzed, with the objective of looking for evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results are verified with the adjustment of Anis and Lloyd and the estimation of Higuchi. An inferential process is added to the Hurst coefficient for each of the assets analyzed. The performance of portfolio optimization including estimates of persistence and the results of its inference were compared with independently optimized portfolios. A better risk-return relationship is observed by including the pattern of persistence, only when the inference is supported by evidence.

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Fonte de datos: Dialnet