Un modelo basado en la teoría de cópulas para la inversión sostenible y socialmente responsable

A model based on Copula Theory for sustainable and social responsible investments

  • Amelia Bilbao-Terol
  • Verónica Cañal-Fernández
  • Arenas-Parra Mar
Palabras clave: Sustainable and social responsible investment, Copulas, Prospect Theory, Goal Programming, Fuzzy Set Theory

Resumen

El modelo que se propone permite obtener una cartera formada por fondos de inversión sostenibles y socialmente responsables (SR). Esta cartera sigue (tracking) a la cartera que hubiese elegido el inversor si no tuviera en cuenta valores sociales, éticos y ecológicos (SEE) en sus decisiones de inversión. Por tanto, la primera etapa del modelo consiste en obtener la cartera de referencia formada exclusivamente por fondos convencionales. Para la construcción de esta cartera se utiliza la Teoría de la Prospección: beneficios netos como objetivo financiero y la función de error como función de utilidad. En la segunda etapa, se construye una cartera formada exclusivamente fondos SR. Para ello, se utiliza la cartera de referencia como un punto ideal siendo los objetivos del inversor socialmente responsable la riqueza relativa respecto de la cartera de referencia y la calidad SEE de la cartera. Por tanto, se tiene un objetivo aleatorio –la riqueza relativa– que será manipulado mediante su Valor en Riesgo Condicional (CVaR) que es una medida de riesgo inferior, es decir, tiene en cuenta las peores pérdidas de la cartera, y los valores periódicos de la cartera. El segundo objetivo está referido a la calidad SR de la cartera atendiendo las creencias y valores personales de un inversor específico; se construye aplicando herramientas de la teoría de subconjuntos borrosos. Nos enfrentamos a un problema multi-objetivo que se resuelve mediante la Programación por Metas. La estimación de los mercados, convencional y SR, ha sido llevada a cabo mediante un enfoque semi-paramétrico utilizando la Teoría de Cópulas para modelar la estructura de dependencia de las rentabilidades de los activos. El modelo se ha implementado utilizando como mercado 38 fondos de inversión convencionales y 12 fondos éticos españoles.

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Biografía del autor/a

Amelia Bilbao-Terol

ProfessorofQuantitativeEconomics

avda. del cristo s/n
Oviedo
33006
SPAIN

Verónica Cañal-Fernández

 

 

Arenas-Parra Mar

 

Avda. del Cristo, s/n
OVIEDO
Spain

Citas

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Publicado
01-01-2016
Cómo citar
Bilbao-Terol, A., Cañal-Fernández, V., & Mar, A.-P. (2016). Un modelo basado en la teoría de cópulas para la inversión sostenible y socialmente responsable. Revista De Contabilidad - Spanish Accounting Review, 19(1), 55-76. https://doi.org/10.1016/j.rcsar.2015.01.003
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