Resumen:En el presente artículo se simula el SIEFOREs,el invertir su componente de renta variable socialmente responsables, mismas sustentable (IPCS). Para lograr CONSAR y se recalculó el IPCS a enero de 2004 con el método de capita índice como insumo, se simuló el es emplear el IPCS, el IPCcomp y el IPC maximiza el índice de Sharpe acciones en el IPCS,las SIEFOREs no pierden desempeño logrado ya seacon que si una SIEFORE utilizara el IPCS durante periodos de alta volatilidad emplear los otros dos índices Clasificación JEL: C580, G11, G170, G23. Palabras clave: ModelosMarkovianos de cambio de régimen, Diversi portafolios, Simulación y pronóstico The benefits of Socially Responsible Investment in the performance of Mexican Abstract:In the present paper we simulate the impact of investing in socially responsible stocks (members of the IPC sustainable index or IPCS) in Mexican pension funds or SIEFOREs. In order to do this, we used the authorized investment policy by CONSAR and we recalculated the IPCS index from January 2004 by using the market cap method. With this recalculated index we simulated the performance of three SIEFOREs that invest their Mexican equity proceedings either in the IPCS, the IPCcomp or the IPC index. Our results show a sound mean-variance efficiency if the SIEFOREs invest in the IPCS index only. We se simula el impacto que tiene,en la política de su componente de renta variable nacional en acciones socialmente responsables, mismas que formen parte del índice de precios y cotizaciones sustentable (IPCS). Para lograr esto, se empleó la política de inversión autorizada por la CONSAR y se recalculó el IPCS a enero de 2004 con el método de capita se simuló el comportamiento de tres SIEFOREs cuya única diferencia IPCcomp y el IPC en un portafolio de mínima varianza y otro que maximiza el índice de Sharpe. Los resultados observan que, al invertir las SIEFOREs no pierden eficiencia media-varianza, respecto al con el IPC o elIPCcomp.De manera complementaria se aprecia que si una SIEFORE utilizara el IPCS en un portafolio que maximice el índice de Sharpe periodos de alta volatilidad, el desempeño del mismoes mayor dos índices.n JEL: C580, G11, G170, G23. losMarkovianos de cambio de régimen, Diversificación, Sel n y pronósticofinanciero, Inversiónsocialmenteresponsable. The benefits of Socially Responsible Investment in the performance of Mexican pension funds.we simulate the impact of investing in socially responsible stocks (members of the IPC sustainable index or IPCS) in Mexican pension funds or SIEFOREs. In order to do this, we used the authorized investment policy by CONSAR and we dex from January 2004 by using the market cap method. With this recalculated index we simulated the performance of three SIEFOREs that invest their Mexican equity proceedings either in the IPCS, the IPCcomp or the IPC index. Our results ariance efficiency if the SIEFOREs invest in the IPCS index only. We a y Ciencias Administrativas, Universidad Michoacana de San e Hidalgo Ave. Francisco J. Mújica S/N Edificio AII Col...
This paper shows the results of an analysis of eight of the most important cryptocurrencies among the great variety that currently exists in the market. Their market risk is studied based on measures widely used in financial asset markets. The analysis is complemented by the evaluation of their performance within portfolios formed with also conventional criteria. A fairly heterogeneous behavior is found among the assets studied, suggesting that such behavior is due to the specific characteristics of each of them, rather than their common characteristics as a specific class of assets. JEL Codes: G12, G14, G19.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.