Examinando por Autor "Grau Carles, Pilar"

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Different risk-adjusted fund performance measures: a comparison
(2013-01-22) Grau Carles, Pilar; Doncel Pedrera, Luis Miguel; Sainz Gonzañez, Jorge
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen¿s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though they usually present skewness and kurtosis. In this paper we compare these different measures of risk: traditional ones vs. ones that take into account fat tails and asymmetry, such as those based on the Cornish-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these VaR-based risk measures. We then use these measures to compare the rating of a set of mutual funds, assessing the different measures¿ usefulness under the Basel II risk management framework.
Hipótesis de mercado eficiente, caos y mercado de capitales
(2012) Fernández Díaz, Andrés; Grau Carles, Pilar
Complexity is one of the most important characteristic properties of the economic behaviour. The new field of knowledge called Chaotic Dynamics Economics born precisely with the objective of understanding, structuring and explaining in the endogenous way such complexity. In this paper we begin with a reappraisal of the Efficient Market Hypothesis, the fundamental and chart analysis and the modelization of the capital markets and chaos. Principally, we analyze the capital market from the point of view of complexity and chaos, by making reference to the behaviour of the Madrid stock exchange, in the period of 1941-1998 for the General Index, and during the period transpired between 1987-1998 for the daily Ibex35 index. In the work we show the need of knowing with independence of the irregularity, if the time series is stochastic or deterministic with a hidden explanation. That is the key problem to take into account.
Stability and cohesion of cartels through networks theory
(2014-04-10) Grau Carles, Pilar; Cuerdo Mir, Miguel