{"id":73762,"date":"2018-03-09T23:18:42","date_gmt":"2018-03-09T23:18:42","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/problemas-no-lineales-en-valoracion-de-activos-y-medicion-de-riesgos\/"},"modified":"2018-03-09T23:18:42","modified_gmt":"2018-03-09T23:18:42","slug":"problemas-no-lineales-en-valoracion-de-activos-y-medicion-de-riesgos","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/problemas-no-lineales-en-valoracion-de-activos-y-medicion-de-riesgos\/","title":{"rendered":"Problemas no lineales en valoracion de activos y medicion de riesgos"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Silvia Mayoral Blaya <\/strong><\/h2>\n<p>Los dos primeros cap\u00edtulos de esta tesis presentan un nuevo concepto de arbitraje y generan una teor\u00eda para formalizar las evidencias emp\u00edricas sobre la posibilidad de reducir la horquilla de precios. En el primer cap\u00edtulo se utilizan costes lineales, representando las imperfecciones de mercado \u00fanicamente mediante la horquilla de precios. El segundo cap\u00edtulo incluye la posibilidad que estas imperfecciones sean no-lineales.  el tercer cap\u00edtulo estudia las medidas de riesgo basadas en funciones de distorsi\u00f3n. A trav\u00e9s de diferentes ejemplos se demuestra como, en algunos casos, las medidas de riesgo que se utilizan nos pueden llevar a resultados inconsistentes. Proponemos propiedades que las funciones de distorsi\u00f3n deben poseer para no obtener este tipo de problemas.  el cuarto cap\u00edtulo desarrolla dos teor\u00edas de dualidad en conexi\u00f3n con el concepto de punto de equilibrio, extendiendo la dualidad de fenchel y de punto intermedio a un problema vectorial. Se aplica al caso de selecci\u00f3n de carteras, minimizando simult\u00e1neamente varias medidas de riesgo.  el \u00faltimo cap\u00edtulo extiende el concepto de medida coherente de riesgo a un contexto din\u00e1mico, en el que el riesgo o el precio refleja un comportamiento estoc\u00e1stico. Nos centramos en las medidas de riesgo basadas en distorsiones.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Problemas no lineales en valoracion de activos y medicion de riesgos<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Problemas no lineales en valoracion de activos y medicion de riesgos <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Silvia Mayoral Blaya <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 28\/04\/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>Alejandro Balbas De La Corte<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Juan  ignacio Pe\u00f1a s\u00e1nchez de rivera <\/li>\n<li>Santiago Carrillo menendez (vocal)<\/li>\n<li>Rafael Caballero fern\u00e1ndez (vocal)<\/li>\n<li> Lucia lopez  julio Jes\u00fas (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Silvia Mayoral Blaya Los dos primeros cap\u00edtulos de esta tesis presentan un nuevo concepto de arbitraje y [&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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