Tesis
URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4147
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Ítem Acceso Abierto The impact of estimation error in portfolio optimization(Universidad ESAN, 2019) Guilbert, ArthurEl objetivo de este trabajo es comprender mejor el impacto que el error de estimación en los parámetros tiene sobre el rendimiento de un portafolio e identificar formas de reducirlo. Para eso, trabajamos en el marco de la Teoría Moderna del Portafolio. A partir de esto, se han aplicado y analizado varias reglas de portafolio a 14 conjuntos de datos. Luego, se analizaron mediante experimentos de cálculo utilizando el software de MATLAB. Se midió y entendió la capacidad de las diversas reglas de la cartera para reducir el impacto del error de estimación en función de varias variables. El estudio muestra que añadir restricciones a los portafolios es una forma eficaz de mitigar el impacto del error de estimación. Eso puede permitir que los portafolios restringidos logren una mayor utilidad esperada en comparación con el portafolio tangente, pero el portafolio de pesos iguales sigue siendo la mejor manera de crear un portafolio cuando se dispone de poca información o que el portafolio está compuesto por muchos activos.Ítem Acceso Abierto The impact of transaction costs in portfolio optimization in Peru(Universidad ESAN, 2017) Chavalle, LucThe goal of this thesis is to analyze the behavior of the transaction costs structure in Peru over three dimensions. The first dimension is the the type and number of stocks in the portfolio. The thesis concludes that transaction costs tend to be higher when the portfolio is composed of stocks with small market capitalizations than with stocks with large market capitalizations. The second dimension is the holding period. The thesis concludes that transaction costs tend to decrease when the holding period increases. Also, entry and exit costs corresponding to the period of composing the portfolio and the period of liquidating the portfolio tend to be diluted when the holding period is higher. The third dimension is the trading strategy. The thesis concludes that active trading strategies characterized by a lot of rebalancing face higher transaction costs.Ítem Acceso Abierto Assessment of the financial impact of producing genetically modified corn in Peru(Universidad ESAN, 2016) Zhu, MinGenetically modified organisms (GMOs) is “any organism (i.e. animal, plant, or microorganism) whose genetic sequence has been altered using modern biotechnology. Genetically modified (GM) crops are created by modifying a specific gene or genes in a plant in order to produce a desirable trait. Biotech GM crops have been grown commercially around the world. The main commercialized crops include soybean, cotton, corn, rice, potato, and many varieties of the fruit products. In this thesis, GM corn was chosen as the research topic for the following reasons: 1) corn is one of the main grains consumed in Peru; 2) corn has major impact in the bilateral trade between the United States and Peru; 3) a high demand for imported GM corn in Peru due to the high demand from the poultry and pork industry in the recent years; 3) the availability of the existing biotechnology of GM corn globally.Ítem Acceso Abierto Assessment of China's foreign direct investment portfolio(Universidad ESAN, 2017) Shen, Yana; Cáceres, YessicaThe following patterns and trends for China´s FDI were identified from the analysis carried out: 1) China’s FDI portfolio in general is getting more diversified in terms of sectors and destinations. 2) The stability of Sharpe ratio indicates that Chinese FDI portfolio maintains a balanced dynamic between expected return and risk through the studied period. 3) Natural resources related sectors are the principal targets for Chinese FDI investors. 4) State owned enterprises are the mainstay of Chinese outward FDI. 5) China’s FDI shows distinctive characteristics in different markets and regions, in terms of diversification and focused sectors.
