{"id":114473,"date":"2013-09-07T00:00:00","date_gmt":"2013-09-07T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/entropa%c2%ada-relativa-y-cobertura-de-derivados\/"},"modified":"2013-09-07T00:00:00","modified_gmt":"2013-09-07T00:00:00","slug":"entropa%c2%ada-relativa-y-cobertura-de-derivados","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/teoria-economica\/entropa%c2%ada-relativa-y-cobertura-de-derivados\/","title":{"rendered":"Entrop\u00edarelativa y cobertura de derivados"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Daniel Arrieta Rodriguez <\/strong><\/h2>\n<p>El objeto de esta tesis es analizar y aplicar el concepto de entrop\u00eda a la valoraci\u00f3n y cobertura de instrumentos financieros derivados emitidos sobre activos de renta variable. M\u00e1s concretamente se desarrolla una metodolog\u00eda basada en la entrop\u00eda relativa m\u00ednima para resolver el problema de valoraci\u00f3n y, sobre todo, de cobertura de un tipo de opci\u00f3n de renta variable denominadas cliquets.Dicha metodolog\u00eda se basa en minimizar la entrop\u00eda relativa entre una distribuci\u00f3n de probabilidad a priori y otra a posteriori, de modo que se satisfacen un n\u00famero finito de restricciones sobre los momentos de la distribuci\u00f3n a posteriori. Adem\u00e1s de la metodolog\u00eda de entrop\u00eda relativa m\u00ednima, la soluci\u00f3n propuesta se basa en algunos resultados te\u00f3ricos de cobertura media-varianza implementados bajo la filosof\u00eda optimal hedge monte carlo. Para la distribuci\u00f3n de probabilidad a priori se propone el uso de  los modelos econom\u00e9tricos dados por los procesos de media condicional armax y varianza condicional de la familia garch. Tambi\u00e9n se presenta una metodolog\u00eda para la selecci\u00f3n del mejor modelo dentro la familia de modelos propuestos. Con todas estas piezas se define una metodolog\u00eda h\u00edbrida que da soluci\u00f3n al problema propuesto.Palabras clave entrop\u00eda relativa, cobertura cliquets, monte carlo, garch, cobertura media-varianza<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Entrop\u00edarelativa y cobertura de derivados<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Entrop\u00edarelativa y cobertura de derivados <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Daniel Arrieta Rodriguez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Complutense de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 09\/07\/2013<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Jos\u00e9 Luis Vilar Zan\u00f3n<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Jos\u00e9 Antonio Gil fana <\/li>\n<li>alejandro Balbas de la corte (vocal)<\/li>\n<li>Santiago Carrillo menendez (vocal)<\/li>\n<li>sancho Salcedo sanz (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Daniel Arrieta Rodriguez El objeto de esta tesis es analizar y aplicar el concepto de entrop\u00eda a [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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