This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

Spanish Abstract: Se presentan los resultados básicos de la teoría de control óptimo en contextos estocásticos y su aplicación en el planteamiento y resolución de problemas financieros. En particular se consideran los problemas de selección óptima de portafolios y la valoración de...

Spanish Abstract: Los fondos de pensiones deben cumplir una restricción de retorno mínimo que se basa en un benchmark definido a partir de la diversificación promedio asociada a cada uno de los cinco tipos de fondos que cada empresa vigente en esta industria gestiona y que los trabajadores...

This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend stationarity, broken-trend stationarity,… However,...

This paper treats of a public investment project in an important area named themediterranean arc. Specifically, it is dedicated to design and value an expansion projectof a shipping port. The valuation methodology is based on the contingent claimsanalysis, using equilibrium arguments. This...

El supuesto de independencia en la definición del movimiento browniano que es el proceso estocástico utilizado en la deducción de la ecuación del modelo Black-Scholes y la valuación de derivados es cuestionado en el presente trabajo. Los resultados de la aplicación de la metodología (R/S)...