An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...

In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...

There is no consensus in the literature as to which model should be used to estimate the stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the developed markets has a poor empirical record and is...

Las propuestas contenidas en el documento del Nuevo Acuerdo de Capital deBasilea, para medir el riesgo de crédito, sirven de base para medir también elriesgo de quiebra de las empresas con base en la utilización de ratios financierosinternos.En la práctica se presentan situaciones en la que...

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio by progressively selling stocks and buy safe, short-term debt securities as stock prices fall. This paper analyzes the current static and dynamic methods in use and explains their pros and cons.

This paper sets out a proposal by which two distinctive and new types of preferred stock (one- and two-tiered convertibles) could be used to sharpen up a company's governance. Firstly, the framework of analysis for standard preferreds will be outlined, mainly their valuation, underlying...

Este artículo intenta responder a tres preguntas: ¿fueron las administradoras buenas agentes de los aportantes? ¿cuánto es realmente la proporción invertida en el sector público? ¿cómo incentivar la financiación de la inversión real? Durante el período septiembre 1994 a julio de 2001...

This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market Line, but using only separation portfolios to put up a feasible portfolio with the same beta as the mispriced asset and the least total risk among other alternative portfolios....