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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model
Sukhomlin, Nikolay; Jiménez, Santana; Josefina, Lisette - In: Revista de Métodos Cuantitativos para la Economía y … 10 (2010) 1, pp. 73-98
El principal resultado de este artículo consiste en la resolución del problema inverso del modelo de Black-Cox (1976), usando el método propuesto por Sukhomlin (2007). Se parte del enfoque retrógrado (backward) para obtener una expresión exacta de la volatilidad implícita en función de...
Persistent link: https://www.econbiz.de/10008764778
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El uso de la volatilidad implícita en el modelado de la varianza condicional puede mejorar la predicción de la volatilidad y la estimación del VAR y CVAR
Gutiérrez, Raúl de Jesús - In: Economía teoría y práctica 31 (2023) 58, pp. 173-198
Persistent link: https://www.econbiz.de/10014464146
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Reinsurance and distribution of dividends as solvency control tools in a non-life insurance
Mármol, Maite; Gutierrez Viñuela, Emilio - In: Revista de Métodos Cuantitativos para la Economía y … 27 (2019), pp. 188-206
reach a certain level. Analyzing the problem from the classical hypotheses of the risk process, we consider in this work the …
Persistent link: https://www.econbiz.de/10014494550
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Reinsurance and distribution of dividends as solvency control tools in a non-life insurance
Mármol, Maite; Gutierrez Viñuela, Emilio - In: Revista de métodos cuantitativos para la economía y … 27 (2019), pp. 188-206
reach a certain level. Analyzing the problem from the classical hypotheses of the risk process, we consider in this work the …
Persistent link: https://www.econbiz.de/10012063289
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Prediction on the distribution of dividends in Argentina using a mixed generalized linear model
González, Mariana Verónica; Moneta Pizarro, Adrián … - In: Ciencias económicas : publicación semestral de … 13 (2016) 2, pp. 9-20
Persistent link: https://www.econbiz.de/10011785486
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La gestión del capital de trabajo como proceso de la gestión financiera operativa.
Navarro, Selpa; Yudith, Ambar; Espinosa Chongo, Daisy - In: Gestión Joven "Revista de la Agrupación Joven … (2009) 4
improves in the treatment of the terms related with the binomial profitability and risk. The investigation has been based on …
Persistent link: https://www.econbiz.de/10008867324
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Optimal Strategy Design for Portfolio Selection: an Inverse Risk Weighting Analysis
Puerta, Andrés; Laniado, Henry - In: Lecturas de Economía (2010) 73, pp. 243-273
proportional to individual risk (PIR) in comparison with the classical mean-variance (MV), minimum variance (MINVAR) and 1/N … that the PIR strategy outperforms classical strategies in terms of profitability indicators, risk, Sharpe ratio, Turnover …
Persistent link: https://www.econbiz.de/10008852457
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Teoría de Markowitz con metodología EWMA para la toma de decisión sobre cómo invertir su dinero
Betancourt Bejarano, Katherine; García Díaz, Carlos Mario - In: Atlantic Review of Economics 1 (2013)
risk. Given the above, this paper presents a model of efficient portfolio optimization based on Markowitz's theory, using … EWMA methodology for the calculation of portfolio risk. …
Persistent link: https://www.econbiz.de/10011536962
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Analysis of the Risk Premium for Auditor Women: The Spanish Case
Aguilar Agreda, Jisela Marivel; Serrano, Jose; … - In: Small Business International Review (SBIR) 3 (2019) 2, pp. 17-33
This study investigates the application by auditor women of a risk premium in Spanish audit firms of SME companies as a … this study suggests the existence of a female risk premium. This premium in fees may exist due to gender differences … existing when perceiving and tolerating risk. Unlike previous studies, the audit effort has been controlled by the hours …
Persistent link: https://www.econbiz.de/10012286561
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La crisis actual y la culpabilidad de la teoría macroeconómica
Ormerod, Paul - In: Revista de Economía Institucional 12 (2010) January-June, pp. 111-128
. The aim of the paper is to study how these agents deal with risk and uncertainty, the source of the problems of the …, because imposes its intellectual foundation to a world that operates in situations involving risk that are systematically …
Persistent link: https://www.econbiz.de/10008539905