Within the framework of Assets Liability Management, we understand that immunization is the main method to assure a certain yield in a future date departing from an initial portfolio. Although the objective of passive strategies is to design a portfolio that will achieve the performance of a...

Markowitz's classical model, as well as other models derived from it (Tobin, Black, …), have raised the problem of the analysis and selection of portfolio securities using statistical instruments that assume a regular and efficient market. This is not usually the case. Although some authors...

The development of economic-financial diagnostic models, using fuzzy logic tools, has resulted in important applications. It is possible to identify a matrix of economic-financial knowledge (Matrix R), which simulates the analyst's behaviour evaluating the health of a firm. The proposed models,...

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and...