Search results for "Asset allocation"

Jubilación parcial y contrato de relevo: regulación y prospectiva

2022

En el marco de la “sociedad del bienestar” los Estados deben procurar acomodar la transición hacia la jubilación proveyendo a sus ciudadanos de vías efectivas, diversas y adaptadas a sus condiciones e intereses. Así pues, ante una “economía del conocimiento” donde las competencias profesionales de los recursos humanos de un país u organización adquieren un valor estratégico en términos de competitividad, resulta pertinente analizar el régimen jurídico de la jubilación parcial y del contrato de relevo.Respecto de dichas instituciones, en este trabajo se discuten sus distintas finalidades, incidiendo en su viabilidad y utilidad como fórmula adecuada al fin de transmitir bidireccionalmente las…

GARCH models with changes in variance: An approximation to risk measurements

2003

This study aims to model volatility as an approximation to an optimum measurement of stock market risk because of the importance of this concept for, among other things, the proper management of portfolios. Following the proposal of Lamoureux and Lastrapes (1990), the authors consider that the high degree of persistence detected in GARCH models arises from a poor specification of the equation of the variance due to not considering the possible deterministic changes in the unconditional variance of the financial series. To determine the point in time as well as the duration of these changes, the proposal made by Inclan and Tiao (1994) is used. As an empirical application, whether or not the …

Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración

2022

Este artículo analiza la sostenibilidad externa de un grupo de 23 países de la OCDE durante el periodo 1970-2020. La estrategia empírica adoptada muestra la importancia del desequilibrio acumulado como desencadenante del ajuste externo, en línea con la propuesta de Gourinchas y Rey (2007). Para ello, contrastamos la sostenibilidad externa a través de la relación acumulado-flujo entre las variables que representan las relaciones externas de una economía abierta utilizando varios tipos de contrastes de cointegración y multicointegración. Los resultados obtenidos apuntan hacia la sostenibilidad en sentido débil en el análisis de los flujos, mientras que desde el punto de vista del enfoque acum…

Dynamic Asset Allocation Strategies Basedon Unexpected Volatility

2014

The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rul…

Designing Guarantee Options in Defined Contribution Pension Plans

2015

The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. For DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio of assets and we develop a discrete model that optimally selects the reference portfolio to minimise the cost of a guarantee. While the relation DB-DC is typically viewed as a binary one, the model can be used to price a wide range of guarantees creating a con…

Strategic Asset Building and Competitive Strategies for SMEs which Compete with Industry Giants

2014

This chapter studies companies which are arguably business super-heroes – the small firms which despite the apparent handicap of very limited resources are able to compete against much larger, multinational firms – the micro-giants Davids that take on Goliaths. Through a process of detailed case studies of actual firms, analysis of asset structure, and experiments with a simulation model, the relationships between key assets, critical success factors, and micro-giant competiveness are explored. The model produces six scenarios reflecting different strategies for developing tangible and intangible assets and, critically, the balance between them. A level of aggression is needed in asset buil…

Quelle allocation optimale pour une caisse de retraite par capitalisation à prestations définies en France sur la période 1991-1998 ?

2001

The Economic Value of Volatility Transmission Between the Stock and Bond Markets

2008

This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock-bond trading rule offers very profitable returns after transaction costs. These results have important implicatio…

Designing and pricing guarantee options in defined contribution pension plans

2015

Abstract The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continu…

Integrated simulation and optimization models for tracking international fixed income indices

2001

Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…