As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term’s memory existence, serial-independence assumption prevails. This document’s long-term dependence assessment...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches. Engineering has faced the same challenges when designing practical solutions...

Este documento evalúa la regulación vigente relacionada con la inversión de los recursos de los Fondos de Pensiones Obligatorios (FPO), para lo cual se analiza el perfil de eficiencia del sistema dadas sus actuales restricciones. De acuerdo con los resultados obtenidos, se observa que el...

The set of objectives in reserves management are normally predifined and include: Protecting the economy against potential external shocks on the current account or on capital flows; invest the reserves minimizing the potential of a loss and ensuring the availability of international liquidity...

Los mercados de títulos soberanos cumplen varias funciones para los mercados de capitales. Son fuente de financiación para el gobierno que los emite, cumplen el rol de activo libre de riesgo -de crédito- del mercado, al tiempo que sirven como referencia o benchmark para las diferentes...

Este documento evalúa la regulación vigente relacionada con la administración de los portafolios de los Fondos de Pensiones Obligatorios (FPO), para esto revisa la literatura relacionada con la eficiencia del Sistema dadas sus actuales restricciones. Se concluye que el marco regulatorio de...

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...

Este trabajo desarrolla un modelo de simulación para estimar el flujo de caja de un pensionado que tiene su cuenta individual en una Administradora de Fondos de Pensiones (AFP) colombiana. Se proyecta el flujo a partir de las sendas salariales y densidades de cotización estimadas por la...