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Optimal Portfolio Selection: A Note with a VBA Solution
Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
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The Colombian Stock Market: 1930-1998
Pareja, Ignacio Vélez - MASTER CONSULTORES - 1999
This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogota Index (Indice de la Bolsa de Bogota, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured by...
Persistent link: https://www.econbiz.de/10010827952
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Aggregate Return on Investment for Investments under Uncertainty
Magni, Carlo Alberto - MASTER CONSULTORES - 2014
of return which, compared with the risk-adjusted cost of capital, correctly signals wealth creation. The AROI exists and … is unique and, for two mutually exclusive projects, we derive an incremental AROI and an incremental risk-adjusted cost … of capital, by means of which two unequal-risk projects can be correctly compared. Iterating the incremental procedure …
Persistent link: https://www.econbiz.de/10010827956
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Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach
Hoyos, Gonzalo Diaz; Pareja, Ignacio Velez - MASTER CONSULTORES - 2010
being consistent with tax saving´s nature. We present two approach based on contingent claims with continuous real and risk …
Persistent link: https://www.econbiz.de/10010762920
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The AIRR Approach for Investment Performance Measurement
Magni, Carlo Alberto - MASTER CONSULTORES - 2012
This paper introduces a new method of investment performance analysis, based on the recent approach of Average Internal Rate of Return (AIRR). We show that the approach generates rates of return suitable for assessing both a fund´s (portfolio´s) performance and a manager´s performance. The...
Persistent link: https://www.econbiz.de/10010762942
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The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration
Magni, Carlo Alberto - MASTER CONSULTORES - 2012
This paper shows that the Internal-Rate-of-Return (IRR) approach is unreliable, and that the recently introduced Average-Internal-Rate-of-Return (AIRR) model constitutes the basis for an alternative theoretical paradigm of rate of return. To this end, we divide the paper into two parts: a pars...
Persistent link: https://www.econbiz.de/10010762951
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The use of Npv and CAPM for capital budgeting is not a good idea. A reply to De Reyck (2005)
Magni, Carlo Alberto - MASTER CONSULTORES - 2009
disequilibrium values, is at odds with arbitrage theory, and that the corresponding CAPM-based NPV rule is meaningless even in the …
Persistent link: https://www.econbiz.de/10010762957
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Calculating Betas
Pareja, Ignacio Vélez - MASTER CONSULTORES - 2001
This teaching note shows the relationship between levered and unlevered betas and the general formulation for the cost of equity. It also shows, step by step, the procedure to estimate betas from data found in the stock market.It shows well known procedures for estimating betas: correlation...
Persistent link: https://www.econbiz.de/10010762963
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Accounting and economic measures: an integrated theory of capital budgeting
Magni, Carlo Alberto - MASTER CONSULTORES - 2009
Accounting measures are traditionally considered not significant from an economic point of view. In particular, accounting rates of return are often regarded economically meaningless or, at the very best, poor surrogates for the IRR, which is held to be "the" economic yield. Likewise, residual...
Persistent link: https://www.econbiz.de/10010762964
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On the long-standing issue of the internal rate of return: a complete resolution
Magni, Carlo Alberto - MASTER CONSULTORES - 2010
The IRR problem. As widely known, the IRR has serious flaws: (i)multiple real-valued IRRs may arise, (ii) the meaning of each IRR may be ambiguous (rate of return or rate of cost?), (iii)complex-valued IRRs may arise, (iv) the IRR is, in general, incompatible with the net present value (NPV) in...
Persistent link: https://www.econbiz.de/10010762966