Paper: Alfa querido!

Capitalizing on the Greatest Anomaly in Finance with Mutual Funds Abstract:  Contrary to the predictions of CAPM, empirical research has shown that investing in low-beta stocks can improve the mean-variance efficiency of an investor’s portfolio. Through forming portfolios of mutual funds based on beta, I examine whether or not mutual fund investors can capitalize on...+

Paper: un poco de vol estocástica para el CAPM

An Intertemporal CAPM with Stochastic Volatility Abstract:  This paper extends the approximate closed-form intertemporal capital asset pricing model of Campbell (1993) to allow for stochastic volatility. The return on the aggregate stock market is modeled as one element of a vector autoregressive (VAR) system, and the volatility of all shocks to the VAR is another...+

Paper: ¿La teoria "lastima"?

Is Portfolio Theory Harming Your Portfolio Abstract:  Modern Portfolio Theory (MPT) teaches us that active equity managers who use judgment to make investment decisions won’t be able to match the returns (after fees and expenses) of blindly-invested, passively-managed index funds. Data on returns supports the theory, so it’s no surprise that investors are leaving actively...+