Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo

This paper is aimed at studying the optimal portfolio problem when the assets have returns from -stable distributions. The optimal portfolio contains a riskless asset and various risky assets, including structured notes. The basic statistics of the assets are calculated and both the -stable distribution parameters and the covariation matrix are estimated through maximum likelihood. Finally, it is shown that by including structured notes in the -stable optimal portfolio it is obtained higher returns, lower risk and better performance than Gaussian optimal portfolio.