Examinando por Materia "Monte Carlo Simulation"
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Ítem Consequences of omitting relevant inputs on the quality of the data envelopment analysis under different input correlation structures(2008-02-03) Ramírez Hassan, AndrésThis paper establishes the consequences of a wrong specification on the quality of the data envelopment analysis. Specifically, the case of omitting a relevant variable in the input oriented problem is analyzed when there are different correlation structures between the inputs. It is established that the correlation matrix gives relevant information about the homogeneity of the decision making units and the intensity of inputs used in the production process. The methodology is based on a series of Monte Carlo simulations and the quality of the data envelopment analysis is measured as the difference between the true efficiency and the efficiency calculated. It is found that omitting relevant inputs causes inconsistency, and this problem is worse when there is a negative correlation structure.Ítem Generación de la frontera eficiente : un enfoque de muestreo aleatorio(Universidad EAFIT, 2023) Aponte Rodríguez, Daniel Mauricio; González Usuga, Miguel Ángel; Arias Sánchez, Juan ManuelThis research analyzes the S&P500 stock market through a random sampling of 81 traded stocks over the last five years (between 2018 and 2022). From this sampling, portfolios of stocks based on combinations are generated to construct the market’s efficient frontier. These portfolios are later on evaluated by incorporating variables from fundamental analysis, such as profitability indicators, liquidity, indebtedness, and valuation. This analysis will enable an understanding of how fundamental analysis variables impact stock price movements, as well as the behaviors exhibited by portfolio returns, achieved by retrospectively evaluating the holding returns that would have been achieved at different time intervals. In practice, this research contributes a methodology to the financial world and its stakeholders for evaluating sets of stocks when constructing portfolios. It enables planning, projecting outcomes, and assessing potential risks associated with investments in the capital market.Ítem A Multi-Stage Almost Ideal Demand System: the case of beef demand in Colombia(2012-10-22) Ramírez Hassan, AndrésThe main objective in this paper is to obtain reliable long-term and short-term elasticities estimates of the beef demand in Colombia using quarterly data since 1998 until 2007. However, complexity on the decision process of consumption should be taken into account, since expenditure on a particular good is sequential. In the case of beef demand in Colom- bia, a Multi-Stage process is proposed based on an Almost Ideal Demand System (AIDS). The econometric novelty in this paper is to estimate si- multaneously all the stages by the Generalized Method of Moments to obtain a joint covariance matrix of parameters estimates in order to use the Delta Method for calculating the standard deviation of the long-term elasticities estimates. Additionally, this approach allows us to get elastic- ities estimates in each stage, but also, total elasticities which incorporates interaction between stages. On the other hand, the short-term dynamic is handled by a simultaneous estimation of the Error Correction version of the model; therefore, Monte Carlo simulation exercises are performed to analyse the impact on beef demand because of shocks at di erent levels of the decision making process of consumers. The results indicate that, although the total expenditure elasticity estimate of demand for beef is 1.78 in the long-term and the expenditure elasticity estimate within the meat group is 1.07, the total short-term expenditure elasticity is merely 0.03. The smaller short-term reaction of consumers is also evidenced on price shocks; while the total own price elasticity of beef is -0.24 in the short-term, the total and within meat group long-term elasticities are - 1.95 and -1.17, respectively.