Matches in SemOpenAlex for { <https://semopenalex.org/work/W4294662259> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W4294662259 endingPage "235" @default.
- W4294662259 startingPage "201" @default.
- W4294662259 abstract "This paper poses the creation of a structured note consisting of assets from three different markets: fixed income, equity and derivatives. To value the zero-coupon bond it is assumed that the interest rate is stochastic and driven by a Cox, Ingersoll and Ross (1985) process. Stocks from the IPC (Mexican Stock Exchange Index) were used to create investment portfolios with aggressive and conservative risk profiles. The optimal portfolio tangent to the Markowitz (1952) efficient frontier was determined using the Sharpe´s (1970) model. Subsequently, a call option on the investment portfolio is valued by using Monte Carlo simulation. The results show that an economic agent with an aggressive risk profile investment porfolio will be better off investing in the suggested structured note." @default.
- W4294662259 created "2022-09-06" @default.
- W4294662259 creator A5027639359 @default.
- W4294662259 creator A5049038392 @default.
- W4294662259 creator A5080673345 @default.
- W4294662259 date "2017-07-26" @default.
- W4294662259 modified "2023-10-14" @default.
- W4294662259 title "Pricing a Structured Note that Links a Zero-Coupon Bond Return with an Option in an Investment Porfolio" @default.
- W4294662259 doi "https://doi.org/10.24275/uam/azc/dcsh/efr/2017v7n2/olivares" @default.
- W4294662259 hasPublicationYear "2017" @default.
- W4294662259 type Work @default.
- W4294662259 citedByCount "0" @default.
- W4294662259 crossrefType "journal-article" @default.
- W4294662259 hasAuthorship W4294662259A5027639359 @default.
- W4294662259 hasAuthorship W4294662259A5049038392 @default.
- W4294662259 hasAuthorship W4294662259A5080673345 @default.
- W4294662259 hasBestOaLocation W42946622591 @default.
- W4294662259 hasConcept C10138342 @default.
- W4294662259 hasConcept C106159729 @default.
- W4294662259 hasConcept C120310109 @default.
- W4294662259 hasConcept C149782125 @default.
- W4294662259 hasConcept C162118730 @default.
- W4294662259 hasConcept C162324750 @default.
- W4294662259 hasConcept C17744445 @default.
- W4294662259 hasConcept C181236170 @default.
- W4294662259 hasConcept C183732909 @default.
- W4294662259 hasConcept C199539241 @default.
- W4294662259 hasConcept C199728807 @default.
- W4294662259 hasConcept C2779307704 @default.
- W4294662259 hasConcept C2780821815 @default.
- W4294662259 hasConcept C51485801 @default.
- W4294662259 hasConcept C69738904 @default.
- W4294662259 hasConcept C9596563 @default.
- W4294662259 hasConceptScore W4294662259C10138342 @default.
- W4294662259 hasConceptScore W4294662259C106159729 @default.
- W4294662259 hasConceptScore W4294662259C120310109 @default.
- W4294662259 hasConceptScore W4294662259C149782125 @default.
- W4294662259 hasConceptScore W4294662259C162118730 @default.
- W4294662259 hasConceptScore W4294662259C162324750 @default.
- W4294662259 hasConceptScore W4294662259C17744445 @default.
- W4294662259 hasConceptScore W4294662259C181236170 @default.
- W4294662259 hasConceptScore W4294662259C183732909 @default.
- W4294662259 hasConceptScore W4294662259C199539241 @default.
- W4294662259 hasConceptScore W4294662259C199728807 @default.
- W4294662259 hasConceptScore W4294662259C2779307704 @default.
- W4294662259 hasConceptScore W4294662259C2780821815 @default.
- W4294662259 hasConceptScore W4294662259C51485801 @default.
- W4294662259 hasConceptScore W4294662259C69738904 @default.
- W4294662259 hasConceptScore W4294662259C9596563 @default.
- W4294662259 hasIssue "2" @default.
- W4294662259 hasLocation W42946622591 @default.
- W4294662259 hasOpenAccess W4294662259 @default.
- W4294662259 hasPrimaryLocation W42946622591 @default.
- W4294662259 hasRelatedWork W1019931982 @default.
- W4294662259 hasRelatedWork W1491651438 @default.
- W4294662259 hasRelatedWork W2492817214 @default.
- W4294662259 hasRelatedWork W2777995568 @default.
- W4294662259 hasRelatedWork W3121562251 @default.
- W4294662259 hasRelatedWork W3164877774 @default.
- W4294662259 hasRelatedWork W4230515910 @default.
- W4294662259 hasRelatedWork W4294662259 @default.
- W4294662259 hasRelatedWork W640326975 @default.
- W4294662259 hasRelatedWork W1741771080 @default.
- W4294662259 hasVolume "7" @default.
- W4294662259 isParatext "false" @default.
- W4294662259 isRetracted "false" @default.
- W4294662259 workType "article" @default.