El algoritmo de optimización de Martin: una visita y discusión geométrica para su aplicación en la selección de carteras

El presente artículo presenta el algoritmo de optimización de Martin, el cual es de utilidad para lidiar con las restricciones desigualdad en el problema de selección de carteras, como es el caso de la restricción de no negatividad. Acto seguido damos un ejemplo numérico y una demostración geométrica de su validez en el empleo práctico del mismo. Esto con la finalidad de concluir con algunas recomendaciones a cerca de su uso en la práctica financiera o en la academia.This paper presents Martin’s optimization algorithm in order to deal with the inequality restrictions in the portfolio selection problem, such as the non-negativity one. Following this, we give a numerical example and a geometrical proof related to its practical usefulness, in order to give some professional recommendations about its use in the financial industry or academia

The benefits of active portfolio management. A reform proposal to Michoacan State’s Public Pension Fund Office

El presente artículo estudia el contexto legal y administrativo de uno de los fondos de pensiones de beneficio definido políticamente más relevantes en México, la Dirección de Pensiones Civiles del Estado de Michoacán. Como consecuencia de esto, se hace la propuesta de una política, estructura y proceso de gestión activa de carteras para su reserva técnica. Para probar la pertinencia de la propuesta, se realizó una simulación de eventos discretos con tres tipos de matrices de covarianzas, empleando el modelo Markowitz- Tobin-Sharpe-Lintner. Los resultados demuestran que se superan los objetivos actuariales planteados y se logra incrementar, como consecuencia, el periodo de suficiencia financiera del plan de pensiones

Operational risk management for insurers

Insurance companies face many risks, which should be managed, but their core competences and main contribution to society is to accept the risks underwritten by businesses and individuals, hence the strategic importance for citizens and governments that insurers protect their assets and revenues, and that policies and scientific methods are established to ensure a minimum financial solvency and the continuity of its operations. Operational risk is increasingly important in the management and corporate governance of insurance companies, which increasingly have greater implications and interactions with the other risks that this insurers face, such as market or credit risks. The management and analysis of operational risk is a necessary activity for insurers, presenting many opportunities for development and a major field of study on conceptual and practical issues due to the particularity and complexity implied in this type of risk. The new European regulation, Solvency II, will inexorably increase the need of an effective management of operational risks and the development and implementation of structured methodologies for its analysis. It is also reviewed the classical technique of modeling, Value at Risk (VaR), and other methodologies for the analysis and quantification of operational risk for insurer

Cambios en la composición corporal en función del grado de demencia en un grupo de ancianos institucionalizados

Producción CientíficaValorar el estado nutricional de un grupo de ancianos institucionalizados con demencia, analizando los cambios en la composición corporal en función de su estadío evolutivo. Método: Se ha realizado un estudio transversal en el que se valoró el estado nutricional y la composición corporal (antropometría, MNA, y bioimpedancia) en 63 ancianos institucionalizados con diagnóstico de demencia en estadíos evolutivos 5, 6 y 7 de las escalas GDS (Global Deterioration Scale) y FAST (Functional Assessment Stating). Se calcularon los índices de masa grasa (IMG) y de masa libre de grasa (IMLG). Los resultados se analizaron mediante el ANOVA de un factor y ANOVA factorial o Kruskal-Wallis, y contrastes a posteriori de Scheffé. La significación se alcanzó con p < 0,05. Resultados: La media de edad fue 80,6 (IC 95%: 78,3-83,0; Rango: 51-95) años. Según el MNA, el 38,1% de la muestra presentaba malnutrición, el 60,3% riesgo de malnutrición, y el 1,6% normalidad nutricional. La media del índice de masa corporal fue 23,06 (22,01-24,10) kg/m2, sin diferencias significativas en función del estadío evolutivo, salvo en los paliativos (media: 19,85; IC 95%: 78,3-83,0 kg/m2). Los pacientes en estadíos GDS/FAST 5, 6 y 7 no paliativos presentan una Z-Score del IMG próxima a 0 DS, y una Z-Score del IMLG de aproximadamente -1 DS, resultados compatibles con una situación de sarcopenia. En los paliativos (GDS/FAST >= 7c) ambos índices son significativamente inferiore

Enhancing portfolio performance and VIX futures trading timing with markov-switching GARCH models

In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the S&amp;P 500 (SP500) stock index, the 3-month U.S. Treasury-bill (T-BILL) or the 1-month volatility index (VIX) futures. For the investment algorithm, we propose the use of two and three-regime, Gaussian and t-Student, MS and MS-GARCH models. This is done to forecast the probability of high volatility episodes in the SP500 and to determine the investment level in each asset. To test the algorithm, we simulated 8 portfolios that invested in these three assets, in a weekly basis from 23 December 2005 to 14 August 2020. Our results suggest that the use of MS and MS-GARCH models and VIX futures leads the simulated portfolio to outperform a buy and hold strategy in the SP500. Also, we found that this result holds only in high and extreme volatility periods. As a recommendation for practitioners, we found that our investment algorithm must be used only by institutional investors, given the impact of stock trading fees.This research was funded by the Coordinación de la Investigación Científica at Universidad Michoacana de San Nicolás de Hidalgo and by the Instituto Politécnico Naciona

Review on Wave Energy Technologies and Power Equipment for Tropical Reefs

As a promising renewable resource to replace part of the energy supply, the wave energy is having more and more interest worldwide. This paper presents a comprehensive analysis of different wave energy technologies in order to identify more promising methods for power supply to tropical reefs. It starts with summarizing the characteristics of tropical reefs in which the most suitable places to be exploited are shown, and the classification of different types of wave energy converters according to their construction features. It is also described in detail each of the stages that are part of the energy conversion. On the basis of the characteristics of tropical coral reefs, the paper puts forward a new type of raft wave energy device which can achieve high operational reliability and adaptability with cost-effective deployment

Plantes de Trasferencias de Acciones a los Empleados en Norteamérica

Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad III, leída el 20-02-96Depto. de Administración Financiera y ContabilidadFac. de Ciencias Económicas y EmpresarialesTRUEpu

New evidence in the definition of strategy for global insure

The article shows how multinational corporations in insurance compete in the risky and complex global arena after the financial crisis, providing a conceptual model linking key cross-border operational drivers to international strategies; drawn largely from public data and qualitative interviews made to managers with involvement in the strategy of insurers throughout Asia, Europe, Latin America and USA. The existing literature justifies the different international strategies of multinational insurance companies on external factors in the creation of value, which are somewhat away from the reality of their decision-making processes. This research leads us to focus the formulation of the strategy on more concrete business drivers, with the specific goal of generating cash-flows and create shareholder wealth. It concludes that, by following the framework described, managers can rethink where to compete globally, and scientists can add conceptually to the current body of knowledge in insurance through new research on corporate strategyStudy performed within the Research Project entitled ‘Corporate Governance, Capital Markets and Financial Crisis' (REF: ECO2012-32554),funded by the Ministry of Economy and Competitiveness, Spain (2013-2015

The benefits for European companies and investors of promoting happiness through high-performing work policies

Purpose: In this paper, the authors tested if promoting the workforce's happiness (through high performance work policies or HPWP) and well-being in European Public companies relates to their profitability (return on equity, ROE), market risk (beta) and stock price return. Also, the authors tested if investors have a performance benefit if they buy a portfolio screened with companies with HPWP. Design/methodology/approach: The authors proxied the quality of the HPWP efforts in the first method with the Refinitiv workforce score. They used this data in an unbalanced panel of eastern, western, northern and southern Europe companies from 2011 to 2022. The panel data also included the ROE, the market risk (beta) and the stock price return of these companies. The authors estimated the corresponding regressions with the panel data and tested the relationship between the workforce score and these three variables. In a second method, they simulated the weekly performance of a portfolio that invested only in European companies with high standards in their HPWP and compared its performance against a conventional market portfolio (with no HPWP screening). Findings: In the first method, the authors found no significant relationship between the workforce score and the ROE, beta, or stock price return in the panel regression, controlling for random effects. In the second one, they found no over or underperformance in the HPWP portfolio against the European market one in the second method. Practical implications: The results suggest that there is no risk or cost for European Public companies and investors alike if they promote, with better HPWP, the happiness and well-being of their workforce. The findings suggest that if European companies promote HPWP, there will be no adverse impact on their profits, market risk, or stock price performance. Also, investors will not lose performance (against a conventional market portfolio) if they screen their portfolios with this type of workforce-friendly companies. Originality/value: Increase the scarce literature on the test of the workforce score with company profitability (ROE), stock market price variation and stock market risk levelThis publication was funded by the Consejería de Economía, Ciencia y Agenda Digital de la Junta de Extremadura and by the European Regional Development Fund of the European Union through the reference grant GR21161

Aplicación de nuevas tecnologías y recursos docentes al proceso de aprendizaje de la asignatura de "Mercados de Capitales"

[SPA]La docencia debe centrarse en la búsqueda del buen aprendizaje, lo que debe requerir potenciar sus dos principios básicos, que son, que los conocimientos aprendidos deben ser más duraderos y adaptables a las circunstancias. Esto requiere una metodología de enseñanza basada en el desarrollo de competencias que permitan incrementar la retención y la visión práctica de las situaciones. Para lograr estas pretensiones, se van a incorporar una serie de cambios metodológicos en la asignatura de Mercados de Capitales, que van desde la potenciación de la motivación del alumno y una mayor implicación en la asignatura, el empleo de nuevas tecnologías, con la incorporación del uso de la plataforma Moodle, internet... al acercamiento de la asignatura al mercado real. [ENG]Teaching should focus on the search for good learning, which should require strengthening its two basic principles, which are, that the learned knowledge should be more durable and that can be adapted to the circumstances. This requires a teaching methodology based on developing skills to increase retention and the practical view of situations. To achieve these claims, we will incorporate a number of methodological changes in the course of capital markets, which range from enhancing the motivation of the student and a greater involvement in the subject, the use of new technologies, by incorporating the use of the Moodle platform, internet... and the approach of the subject to the real market.Campus Mare Nostrum, Universidad Politécnica de Cartagena, Universidad de Murcia, Región de Murci