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  • Operational Risk Management using a Fuzzy Logic Inference System

    Publicación |

    Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches.  Engineering has faced the same challenges when designing practical…

  • Does the Use of Foreign Currency Derivatives Affect Colombian Firms’ Market Value?

    Publicación |

    Classic financial theory relies on the absolute perfection of capital markets, which results in one of the milestones of theoretical corporate finance: the firm’s value is invariant to the choice of capital structure. As an extension to the aforementioned proposition by Modigliani and Miller (…

  • Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

    Publicación |

    First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix…

  • The Factor-Portfolios Approach to Asset Management using Genetic Algorithms

    Publicación |

    We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these portfolios, allowing for tracking error…