This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt, et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...

We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate...

This report describes the survey that was carried out in 122 communities in rural Colombia bythe consortium formed by the Institute for Fiscal Studies, Econometria and SEI as the baselinefor the impact evaluation of Familias en Acción, a programme to foster the accumulation of human capital in...