In this paper we measure the error of estimating the term structure by the YTM/Duration approximation. The figures are based on the fact that model of term structure proposed by Nelson and Siegel (1987) is valid, and bonds are bullets. For the case of Chile we found that the approximation...

In this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is...