Posts Tagged ‘activos

07
Sep
11

Paper: Diversificación, rebalanceo como soluciones…

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to sell assets that have appreciated in relative value and buy assets that have declined in relative value, as measured by their weights in the portfolio. In contrast, the incremental return of a buy-and-hold portfolio is driven by the fact that the assets that perform the best become a greater fraction of the portfolio. We use these results to resolve two puzzles associated with the Gorton and Rouwenhorst index of commodity futures, and thereby obtain a clear understanding of the source of the return of that index. Diversification return can be a significant source of return for any rebalanced portfolio of volatile assets.

Link al Paper

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04
Apr
11

Tabla du Jour: Retornos al 31 de marzo

(Fuente: CapitalSpectator.com)

17
Feb
11

Finanzas 101: burbujas

Vox tiene un post sobre el origen y las implicaciones de las burbujas en el precio de ciertos activos. Parte desde la clásica pregunta: ¿Que es una burbuja?; para terminar enumerando los avances en los modelos que buscan explicarlas.

(…)

Despite the recurrent nature of bubbles and their macroeconomic implications, however, we still lack a stylised model to answer the basic questions:

  • What is the origin of bubbly episodes?
  • Why are they unpredictable?
  • How do bubbles affect consumption, the capital stock, and output?

(…)

 

05
Nov
10

Frase del Día: Cuando todo sube…

Lesson #1: Investors don’t mind a correlation of one across asset classes when everything goes up.”

(Fuente: EconomicPic)

03
Nov
10

Infograma du Jour: Bancos Top 50

(Fuente: The Banker, via Credit Writedowns)

30
Aug
10

Paper: El efecto de los activos complejos

Trading Complex Assets

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity, and trade efficiency. Subjects were asked to deduce the value of a particular asset from information they were given about the composition and price of several portfolios. Following that, subjects traded with each other anonymously in a well-defined, simple bargaining process. Portfolio problems ranged from requiring simple analysis to more complicated computation. Complexity altered subjects’ bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency. Female subjects were affected more by complexity (e.g., lower trade frequency), although they achieved higher payoffs in the complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and provides novel testable empirical predictions.

Link al Paper

08
Apr
10

Paper: apalancamiento y Burbujas

Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?

Abstract

An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to ‘overshoot’ equilibrium when an asset bubble bursts—threatening widespread insolvency and what Richard Koo calls a ‘balance sheet recession’. Besides interest rates cuts, asset purchases and capital restructuring are key to crisis resolution. The usual bankruptcy procedures for doing this fail to internalise the price effects of asset ‘fire-sales’ to pay down debts, however. We discuss how official intervention in the form of ‘super’ Chapter 11 actions can help prevent asset price correction causing widespread economic disruption.

Linal Paper




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