In this paper we present an application where advanced undergraduate students can solve the expected utility portfolio model with a risk-free and a risky asset with both up and down returns in the Stock Market. With real Stock Market data, we use Excel Solver to find the portfolio decision and...

Los últimos capítulos revisan los aspectos de la evaluación en sí, los mismos que incluyen: la construcción del flujo de caja, los indicadores de rentabilidad, los ranking de proyectos, la optimización de la rentabilidad, el riesgo, la determinación del costo de oportunidad del capital,...

Perhaps because of the prolonged stock market boom of the 1990's most macro principles textbooks have increased their coverage of the stock market, but there is very little analysis of how the economy affects the stock market. The present paper suggests a "GDP demand-side" approach to predicting...

En la primera parte de estos capítulos se encuentra una breve revisión teórica de las herramientas más importantes que deben ser tomadas en cuenta para resolver los ejercicios que se presentan a continuación. Luego se proponen y resuelven ejercicios vinculados con el tema. La mayor parte de...

I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is...

Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will in this paper empirically investigate how...

This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial...

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels - of around 12 percent - not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.

This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than 140,000 Google cites while the median number of citations for the Fellows of the American Finance Association is 32,792. Gene Fama has published highly-cited papers in six...

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...