Examinando por Materia "Renta fija"
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Ítem Aprendizaje reforzado profundo para la administración de portafolios de renta fija(Universidad EAFIT, 2023) Mejía Estrada, David; Almonacid Hurtado, Paula MaríaThis paper applies deep reinforced learning techniques to the management of fixed income investment portfolios, specifically sovereign securities issued by the Colombian government. The period of analysis covers seven years, from January 2015 to December 2022. We find that it is possible to generate profitability and achieve efficient risk management because of the trading strategies that deep reinforced learning models foresee more convenient given certain market conditions and of each of the securities, such as their implied risk in metrics like DV01, Duration and Convexity. Finally, this study contributes to the field of machine learning and artificial intelligence applications on investment portfolio management, with a relatively new focus on the fixed income market in general, consolidating itself as one of the first works to apply reinforcement learning techniques to the Colombian public debt market.Ítem [Creación de un fondo fijo anual para renta vitalicia](Madrid : En la Imprenta de Gabriel Ramírez, 1769) España. Soberano (1759-1788 : Carlos III); Carlos III, Rey de España, 1716-1788; Muzquiz, Miguel deÍtem La curva de rendimientos a plazo y las expectativas de tasas de interés en el mercado de renta fija en Colombia 2002-2007(Universidad EAFIT, 2008-11-15) Agudelo Rueda, Diego; Arango Arango, MónicaHow does the yield curve incorporate the expectations on the Colombian future short-term interest rates?. Two theories have been proposed to explain it: the Expectation Hypothesis and the Liquidity Preference Hypothesis. This paper tests both theories for the TES yield curve as well as for the CDT yield curve, using time-series models that account for the persistence and heteroskedasticity of the interest rates. The results support the Liquidity Preference Hypothesis, consistent with the fact that in Colombia long-term rates have been consistently higher than short-term rates. However we found evidence of some predictive power of the long-term rates on the future short term rates, consistent with the Expectation Hypothesis.Ítem La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002-2007(Universidad de Antioquia, 2008) Agudelo Rueda, Diego; Arango Arango, Mónica; Departamento de Finanzas, Universidad EAFIT; Universidad de Medellín; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Diseño de una nota estructurada sobre acciones de ECOPETROL para inversionistas institucionales(Universidad EAFIT, 2017) Wilches Díaz, Diego David; Beltrán Beltrán, Jhonatan EdwardTeniendo en cuenta la incertidumbre y volatilidad existente en los mercados mundiales, el mercado colombiano, que no es ajeno a la actual coyuntura, es testigo de la constante búsqueda de los inversionistas por colocar sus recursos en un instrumento de inversión adecuado -- El presente trabajo tiene como finalidad diseñar una nota estructurada en el mercado de capitales colombiano, como vehículo de inversión para Agentes del Mercado Institucional -- El trabajo presenta una descripción detallada de los instrumentos financieros con los que se estructurará la nota, recalcando sus características, sus ventajas y una posible valuación de los mismos en conjunto -- Por último, producto de este trabajo se entrega la composición de la nota estructurada, con los instrumentos financieros que, de acuerdo a la optimización realizada, diversifica el riesgo en los portafolios institucionales y genera un plus de rentabilidad por encima de la otorgada por un fondo de inversión colectiva de renta fijaÍtem Inversión en TES : una recomendación desde el análisis macroeconómico colombiano(Universidad EAFIT, 2023) Santos López, Juan David; Neira Orozco, Juan Diego; Hurtado Rendón, Álvaro ArturoThis work analyzes the relationship between macroeconomic variables and the profitability of Treasury Bonds (TES) in Colombia. An empirical approach based on the Vector Autoregressive (VAR) methodology is used to examine this relationship. Based on the literature review, it is identified that macroeconomic variables such as interest rate, Gross Domestic Product (GDP), and Consumer Price Index (CPI) can directly or inversely affect the profitability of TES. The proposed methodology is based on a VAR model that considers TES yield as the dependent variable and GDP, inflation, and interest rate as independent variables. Official data sources such as the National Administrative Department of Statistics (DANE), the Central Bank of Colombia, and the Colombian Stock Exchange (BVC) are used. The results of the statistical analysis indicate that the interest rate, GDP, and CPI have a direct and significant relationship with the profitability of TES, implying that an increase in these variables can lead to an increase in bond profitability. Furthermore, it is found that the lagged CPI with a two-month delay do not have a significant relationship with TES profitability. The findings are consistent with previous research and supported by the Fisher expectations model. The results have important implications for investors and the Colombian government, enabling informed decision-making and adjustments to economic policy. The work proposes a robust methodology and utilizes appropriate statistical analysis to address the relationship between the variables under study.Ítem Modelos unifactoriales de tipos de interés : aplicación al mercado colombiano(Universidad EAFIT, 2007-11) Restrepo Tobón, Diego Alexander; Botero Ramírez, Juan CarlosThis work presents a first approximation for implementing the Hull and White (1990) and the Black and Karasinski (1991) One-Factor Interest Rate Models in the Colombian market. Both models fit exactly the Colombian term structure of interest rates. Nevertheless, due to the unavailability of interest rate derivatives in our market, implicit calibration was not possible. This process was replaced by the estimation of the volatility using an EGARCH model for the Interbank Interest Rate. This approach will hand out with the pricing of interest rate derivatives in the Colombian Market, mainly, in its early steps of development.