We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of the classical mean-variance optimization problems....

We show that by modeling the time series of mortality rate changes rather than mortality rate levels we can better model human mortality. Leveraging on this, we propose a model that expresses log mortality rate changes as an age group dependent linear transformation of a mortality index. The...

En el marco de los Debates Presidenciales de 2014, Fedesarrollo lideró la elaboración de varios documentos con propuestas de política pública en áreas críticas para el desarrollo económico y social del país. En este documento Hernando José Gómez y Daniel Mitchell abordan uno de esos...