{"id":61776,"date":"2007-10-12T00:00:00","date_gmt":"2007-10-12T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/contrastacion-de-estrategias-de-inmunizacion-unifactoriales-en-el-mercado-espanol-de-deuda-publica\/"},"modified":"2007-10-12T00:00:00","modified_gmt":"2007-10-12T00:00:00","slug":"contrastacion-de-estrategias-de-inmunizacion-unifactoriales-en-el-mercado-espanol-de-deuda-publica","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/matematicas\/contrastacion-de-estrategias-de-inmunizacion-unifactoriales-en-el-mercado-espanol-de-deuda-publica\/","title":{"rendered":"Contrastaci\u00f3n de estrategias de inmunizaci\u00f3n unifactoriales en el mercado espa\u00f1ol de deuda p\u00fablica"},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Gonz\u00e1lez P\u00e9rez Mar\u00eda De La O <\/strong><\/h2>\n<p>Contrastaci\u00f3n de estrategias de inmunizaci\u00f3n unifactoriales en el mercado espa\u00f1ol de deuda p\u00fablica testing one-factor immunization strategies in the spanish treasury market el objetivo de esta tesis doctoral consiste en analizar te\u00f3ricamente y contrastar emp\u00edricamente el comportamiento de distintas estrategias de inmunizaci\u00f3n unifactoriales en la gesti\u00f3n de carteras de renta fija, ya que en los \u00faltimos a\u00f1os, ha aumentado considerablemente el inter\u00e9s por el desarrollo de estrategias de inmunizaci\u00f3n financiera debido, sobre todo, al incremento del volumen de fondos de inversi\u00f3n y fondos de pensiones gestionados en espa\u00f1a. Por ello, las entidades financieras, en general, y las entidades aseguradoras, en particular, emplean este tipo de estrategias para asegurar la mejor cobertura frente al riesgo derivado de aquellas variaciones de los tipos de inter\u00e9s distintas a las previstas por el mercado. este trabajo analiza los tres tipos de estrategias de inversi\u00f3n en renta fija: la primera de ellas consiste en llevar a cabo estrategias pasivas o de inmunizaci\u00f3n, cuyo objetivo es garantizar un determinado rendimiento m\u00ednimo, que coincide con aquel ofrecido por el mercado en el momento inicial de la inversi\u00f3n. Dentro de estas estrategias prestamos una especial atenci\u00f3n a la estrategia de inmunizaci\u00f3n tradicional de fisher y weil (1971), a las estrategias de inmunizaci\u00f3n basadas en la minimizaci\u00f3n de la ma, que es una medida de dispersi\u00f3n desarrollada por nawalkha y chambers (1996) y, por \u00faltimo, a las estrategias de inmunizaci\u00f3n estoc\u00e1stica, basadas en los modelos de no arbitraje de la etti desarrollados por vasicek (1977) y por cox, ingersoll y ross (1985). El segundo tipo de estrategia que puede seguir un gestor financiero es una estrategia activa. En este caso, el objetivo consiste en lograr el m\u00e1ximo rendimiento aprovechando las expectativas de dicho gestor sobre el comportamiento futuro de los tipos de inter\u00e9s. El principal problema de las es<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Contrastaci\u00f3n de estrategias de inmunizaci\u00f3n unifactoriales en el mercado espa\u00f1ol de deuda p\u00fablica<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Contrastaci\u00f3n de estrategias de inmunizaci\u00f3n unifactoriales en el mercado espa\u00f1ol de deuda p\u00fablica <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Gonz\u00e1lez P\u00e9rez Mar\u00eda De La O <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Castilla-la mancha<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 10\/12\/2007<\/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>Eliseo Navarro Arribas<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: purificaci\u00f3n Herv\u00e1s burgos <\/li>\n<li>rosa Cocozza (vocal)<\/li>\n<li>Mar\u00eda  del pilar Abad romero (vocal)<\/li>\n<li> Soto pacheco gloria Mar\u00eda (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Gonz\u00e1lez P\u00e9rez Mar\u00eda De La O Contrastaci\u00f3n de estrategias de inmunizaci\u00f3n unifactoriales en el mercado espa\u00f1ol 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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