{"id":25488,"date":"2018-03-09T09:16:54","date_gmt":"2018-03-09T09:16:54","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/essays-on-portfolio-management-and-performance-measures\/"},"modified":"2018-03-09T09:16:54","modified_gmt":"2018-03-09T09:16:54","slug":"essays-on-portfolio-management-and-performance-measures","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/alcala\/essays-on-portfolio-management-and-performance-measures\/","title":{"rendered":"Essays on portfolio management and performance measures."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Jes\u00fas David Moreno Mu\u00f1oz <\/strong><\/h2>\n<p>El objetivo de esta tesis es estudiar determinados problemas que permanecen dentro de la teor\u00eda de carteras moderna. La tesis est\u00e1 formada por cinco estudios dedicados principalmente a dos temas: i) el problema de selecci\u00f3n y estimaci\u00f3n de los elementos del modelo de markowitz; ii) varias cuestiones relacionadas con el an\u00e1lisis de resultados de inversiones a trav\u00e9s del empleo de medidas de performance. As\u00ed, en el cap\u00edtulo 2 se analiza la capacidad de predicci\u00f3n de los rendimientos futuros en mercados desarrollados y emergentes, empleando modelos lineales y no lineales. Los resultados muestran que ni los rendimientos de los mercados emergentes ni losde los mercados desarrollados muestran ninguna predecibilidad, teniendo en cuenta costes de transacci\u00f3n. en el cap\u00edtulo 3 se analiza la conveniencia de emplear medidas de riesgo asim\u00e9tricas dentro del marco de markowitz. Adem\u00e1s se plantea la ruptura del supuesto de volatilidad constante dentro de ese mismo marco, empleando predicciones de la volatilidad a trav\u00e9s de modelos de heterocedasticidad condicional autoregresiva (arch). En general los resultados aplicando estas medidas de riesgo alternativas no mejoran al modelo cl\u00e1sico de markowitz. \u00fanicamente en aquellos casos que el inversor desea minimizar las p\u00e9rdidas bajo  las peores circunstancias del mercado, la utilizaci\u00f3n de medidas de riesgo asim\u00e9tricas, como el lower-partial-moment (lpm), obtienen resultados sistem\u00e1ticamente superiores al resto. En el cap\u00edtulo 4 se analiza el sesgo inherente en las propias medidas de performance al seleccionar o valorar activos. Se encuentra que varias medidas de performance (gh2, ratio de sharpe y la prima por semidesviaci\u00f3n) muestran un cierto grado de persistencia en sus resultados. En el \u00faltimo cap\u00edtulo se realiza un estudio sobre la clasificaci\u00f3n de fondos de inversi\u00f3n en espa\u00f1a. Para ello se aplican t\u00e9cnicas no param\u00e9tricas como mapas autoorganizativos. Se encuentra que m\u00e1s d<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Essays on portfolio management and performance measures.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Essays on portfolio management and performance measures. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Jes\u00fas David Moreno Mu\u00f1oz <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Alcal\u00e1<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 18\/09\/2003<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li> Olmeda Martos Jos\u00e9 Ignacio<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: vicente Meneu ferrer <\/li>\n<li> Blasco de las heras natividad (vocal)<\/li>\n<li>daniel Villalba vila (vocal)<\/li>\n<li>eliseo Navarro arribas (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Jes\u00fas David Moreno Mu\u00f1oz El objetivo de esta tesis es estudiar determinados problemas que permanecen dentro de [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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