2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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2013 - 20162

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Autor: search.filters.author.Gutiérrez Betancur, Juan Carlos

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Mostrando 1 - 2 de 2
  • Miniatura
    ÍtemSolo Metadatos
    Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Velásquez Giraldo, Mateo; Gutiérrez Betancur, Juan Carlos; Almonacid Hurtado, Paula María
    Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This study aims to evaluate two non-gradient based methods for solving the non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear parameters. Comparisons of the results are made in terms of the achieved fit, consistency (for the metaheuristic) and the shapes obtained for the curves. The same procedure is carried out on the Nelson-Siegel-Svensson (NSS) model, evaluating the advisability of its use in the local market.
  • Miniatura
    ÍtemSolo Metadatos
    Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos
    (Universidad ESAN. ESAN Ediciones, 2013-12-30) Arboleda Bedoya, Alejandra; Soto Quintero, Carlos Alberto; Gutiérrez Betancur, Juan Carlos
    Taking into account the new Colombian multi-funds scheme of the Individual Benefits Plan, an analysis was made through the application of stochastic and actuarial tools with the purpose of determining the moment in which agents (according to their social characteristics: sex, income expectation, moment they begin to pay contributions, contribution probability) must transfer their retirement account into the different offered portfolios. Considering the profitability and the risk the agents want to assume, as key elements, it is generally observable that they must remain a great percentage of their working lives in the high-risk investment fund to achieve a greater financial capital accumulation and a greater probability to attain a reasonable replacement rate.