Long-term portfolios as an investment alternative in the resources of future Mexican pensioners
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The objective of this research work is to propose the alternative to investment the resources of active Mexican workers and future pensioners, in long-term portfolios diversified in the main invertible sectorial indices of total return. The traditional Markowitz model is compared with a more robust adaptation using elliptical copula models with GARCH volatility considering Pearson and Kendall correlation with intertemporal horizon at one and two years with daily data in the period 2009-2018. The results of this research, after analyzing 30 investment portfolios, show that in two-year investments, returns were always higher than those expected for any type of portfolio analyzed, while for one-year investments, the losses obtained did not exceed the threshold established as Value at Risk at the 95%, 99% and 99.9% confidence levels. Given that the best empirically observed results for the study variables are long-term, it is recommended that the resources of future Mexican pensioners can be invested in the BMV, since the indices tend to rise in the long term. As a limitation, the proposed copula models have elliptical support, that is, they are symmetrical. The originality of the work is the investment proposal of the resources in the proposed indices in the long term, since the CONSAR reports short-term quarterly investments with some significant losses. It is concluded that it is feasible to invest in the long term the resources of the future pensioners in the invertible sector indices of total return.
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The objective of this research work is to propose the alternative to investment the resources of active Mexican workers and future pensioners, in long-term portfolios diversified in the main invertible sectorial indices of total return. The traditional Markowitz model is compared with a more robust adaptation using elliptical copula models with GARCH volatility considering Pearson and Kendall correlation with intertemporal horizon at one and two years with daily data in the period 2009-2018. The results of this research, after analyzing 30 investment portfolios, show that in two-year investments, returns were always higher than those expected for any type of portfolio analyzed, while for one-year investments, the losses obtained did not exceed the threshold established as Value at Risk at the 95%, 99% and 99.9% confidence levels. Given that the best empirically observed results for the study variables are long-term, it is recommended that the resources of future Mexican pensioners can be invested in the BMV, since the indices tend to rise in the long term. As a limitation, the proposed copula models have elliptical support, that is, they are symmetrical. The originality of the work is the investment proposal of the resources in the proposed indices in the long term, since the CONSAR reports short-term quarterly investments with some significant losses. It is concluded that it is feasible to invest in the long term the resources of the future pensioners in the invertible sector indices of total return.