Examinando por Autor "Pantoja, Javier"

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    Ítem
    La empresa moderna en el marco de la corriente institucionalista
    (Escuela de Ingenieria de Antioquia, 2006) Pantoja, Javier; Arévalo, Erika; Universidad EAFIT; Universidad del Norte; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
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    Ítem
    Estrategia de cobertura a través de contratos a plazo en mercados eléctricos.
    (Universidad Autónoma del Estado de México, 2012) Trespalacios Carrasquilla, Alfredo; Rendón García, Juan Fernando; Pantoja, Javier; Universidad Eafit, Medellín, Colombia; Universidad Eafit, Medellín, Colombia; Universidad Eafit, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
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    Ítem
    Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results
    (Universidad EAFIT, 2012-12-15) Pantoja, Javier; Roncoroni, Andrea; Id Brik, Rachid
    As an extension of the VaR-constrained hedging, we propose a closed-form solution to the problem of optimizing portfolios, based on price and weather. For electric power companies, price and quantity are volatile, and in hydro-electricity generation quantity can be related to weather conditions. An optimum portfolio is derived from expected utility maximization problem, including weather indices to minimize losses. Due to electric power features, agents in this market are facing price and volume risks, the difficulty to storage efficiently electric power cannot permit to mitigate volumetric risk and alternatively weather instruments can be used in order to hedge unexpected changes in weather; the purpose of weather derivatives is to smooth out the temporal fluctuations in the company’s revenues. For electric power companies price and quantity are volatile, and quantity is correlated to the weather conditions. Moreover, exposures to price and volume risks make necessary the inclusion of the weather pay-off. Thus, we derive the optimal portfolio from the expected utility maximization problem including electric power and weather derivatives whose payoffs will minimize losses.
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    Ítem
    Los precios forward sobre electricidad. ¿Determinados racionalmente por los agentes del mercado colombiano?
    (Universidad Autónoma del Estado de México, 2012) Salazar Marín, Gloria Stella; Pantoja, Javier; XM Expertos en Mercados; Profesor de tiempo completo, Universidad EAFIT, Medellín Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca