{"id":72877,"date":"2018-03-09T23:17:43","date_gmt":"2018-03-09T23:17:43","guid":{"rendered":""},"modified":"2018-03-09T23:17:43","modified_gmt":"2018-03-09T23:17:43","slug":"analisis-de-las-decisiones-de-inversion-en-activos-de-renta-fija-a-corto-y-a-largo-plazo-conforme-a-la-teoria-de-las-expectativas-puras-evolucion-de-los-resultados-y-calculo-de-la-rentabilidad-ajusta","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/analisis-de-las-decisiones-de-inversion-en-activos-de-renta-fija-a-corto-y-a-largo-plazo-conforme-a-la-teoria-de-las-expectativas-puras-evolucion-de-los-resultados-y-calculo-de-la-rentabilidad-ajusta\/","title":{"rendered":"An\u00e1lisis de las decisiones de inversi\u00f3n en activos de renta fija a corto y a largo plazo conforme a la teor\u00eda de las expectativas puras: evoluci\u00f3n de los resultados y c\u00e1lculo de la rentabilidad ajustada al riesgo. (caso espa\u00f1ol: 1993-2000)"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Francisco De Borja Garrido  Chamorro <\/strong><\/h2>\n<p>La tesis tiene un primer objetivo consistente en la identificaci\u00f3n de un ratio que permita aglutinar toda la informaci\u00f3n \u00fatil para la adopci\u00f3n de decisiones t\u00e1cticas de gesti\u00f3n de carteras de renta fija que, por encontrarse dispersa y estar cargada de incertidumbre, no siempre es posible considerar.  el ratio seleccionado, llamado de forma gen\u00e9rica \u00abdiferencial\u00bb recoge la relaci\u00f3n existente entre el rendimiento de diversos activos de renta fija del mercado espa\u00f1ol de deuda p\u00fablica a corto plazo (letras del tesoro a 14 d\u00edas, 30 d\u00edas, 90 d\u00edas, 182 d\u00edas y 365 d\u00edas) y a largo plazo (bonos del estado a 3 y 5 a\u00f1os y obligaciones del estado a 10 a\u00f1os).  a continuaci\u00f3n se analiza la capacidad de este ratio para proporcionar una informaci\u00f3n \u00fatil y consistente para la labor del gestor. Para ello se ha realizado un estudio detallado de su  comportamiento a lo largo de un per\u00edodo de ocho a\u00f1os (1993-2000), identificando las pautas del mismo en las distintas fases del ciclo: alternancia de fases de subida y de bajada de tipos, diferencia de comportamiento de los diferenciales calculadoa para cada referencia y para cada plazo, efecto de los cambios de pendiente de la curva sobre la evoluci\u00f3n de los diferenciales,&#8230;..  finalmente se realiza un an\u00e1lisis de los mencionados diferenciales ajustados por el riesgo de la inversi\u00f3n, bas\u00e1ndose en la tecnolog\u00eda financiera derivada de los modelos var y de los desarrollos de estos para entidades financieras (modelos rorac).<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>An\u00e1lisis de las decisiones de inversi\u00f3n en activos de renta fija a corto y a largo plazo conforme a la teor\u00eda de las expectativas puras: evoluci\u00f3n de los resultados y c\u00e1lculo de la rentabilidad ajustada al riesgo. (caso espa\u00f1ol: 1993-2000)<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 An\u00e1lisis de las decisiones de inversi\u00f3n en activos de renta fija a corto y a largo plazo conforme a la teor\u00eda de las expectativas puras: evoluci\u00f3n de los resultados y c\u00e1lculo de la rentabilidad ajustada al riesgo. (caso espa\u00f1ol: 1993-2000) <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Francisco De Borja Garrido  Chamorro <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pontificia comillas<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 24\/02\/2005<\/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>Cecilio Moral Bello<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: \u00e1ngel Luis L\u00f3pez roa <\/li>\n<li>Jos\u00e9 Luis Montes botella (vocal)<\/li>\n<li> Sesto pedreira Manuel Antonio (vocal)<\/li>\n<li>Fernando G\u00f3mez-bezares pascual (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Francisco De Borja Garrido Chamorro La tesis tiene un primer objetivo consistente en la identificaci\u00f3n de un 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