Facultad de Administración
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Encuentre en acceso abierto la producción académica, investigativa y de creación de la Facultad de Administración de la Universidad de los Andes, compuesta por diversos contenidos como trabajos de grado de sus diferentes programas, artículos académicos, documentos de trabajo, entre otros.
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Publicación Acceso abierto A deep learning approach to forecasting EUA future contracts(Universidad de los Andes, 2020) Villamizar Díaz, Jorge Hernando; Ottonello, Giorgio; Prado, Melissa; Ter Horst, Enrique Alejandro; Arcila Barrero, Carlos AlfredoThis directed research project explores the use of deep learning techniques to forecast the price of European Union Allowance (EUA) future contracts. In order to achieve this, a comprehensive review of the literature surrounding emission markets, trading schemes and long short-term memory neural networks is made. Possible explanatory variables for the EUA futures price are selected, curated, and the methodology used to get a forecast is described. Additionally, under the Anatolyev-Gerko (EP) test statistic and the Pesaran-Timmermann (DA) test, there is evidence that a long-short trading strategy using the forecasted values beats the random walk, in other words, the strategy generates value by skill other than luck.Publicación Acceso abierto A Model of Guarantees under High Moral Hazard(Universidad de los Andes, 2005) Bautista Mena, Rafael De JesusGovernments in many countries are often faced with the need to provide a guarantee support for the financing of infrastructure projects at the national and municipal levels. This may be a necessary measure, in order to get private financial institutions to lend enough funds to carry out public projects. In the absence of government as third party in the writing of debt contracts, two problems arise: One, credit is rationed by quantity, causing its equilibrium price to be higher than what comes from meeting supply and demand. Second, borrowers may not have negotiating power to exact the minimum possible cost of money. This paper shows a model for estimating guarantee rate as a way to implement guarantee agreements. A process of bargaining involving the three parties - the requesting entity, the government and the financial institution - produces an optimal set of values for the fair interest rate and the guarantee rate. This process of bargaining requires that the negotiators agree to a set of inter-period default probabilities, the discrete equivalents of hazard rates, as one of the main outcomes of the negotiation. Finally, we explore different ways to construct such probability structures, and apply these ideas to a model for credit risk, currently under implementation, adapted to the circumstances just described.Publicación Acceso abierto A quantitative model of the human capital contribution to the value of a project(Universidad de los Andes, 2014) Bautista, RafaelThis paper proposes a conceptual frame for assessing the economic contribution attributable to the human capital in a project in the product market. The starting point is the rejection of the assumption of human capital as commodity, which is implicit in nearly all discussions about the economic value of a project in the product market. Once the management team has already climbed a particular learning curve, this experience translates into a well-defined assembly of skills and know-how "honed in house" that are not marketable and that become the basis of sustained competitive advantage during the life of the project. In this model, the specificity of the in-house developed knowledge is encoded by the parameters of a function that represents the responses of the team to aspiration levels proposed by central management, vis-à-vis its perceptions of market conditions. How the net present value of the project depends on those parameters reflects the weight of the human capital. This approach reveals that the contribution of the human capital component to the value of a project does not follow any simple additive rule, and that the notion of added value comes mainly from comparing the team's performance with that of competing management teams.Publicación Acceso abierto Una a una: guía de auto exploración y preparación para el primer empleo(Universidad de los Andes, 2021) Devia Varón, Laura Daniela; Barón Aristizabal, María Paula; Gómez Quintero, Juliana; Amaya Torres, Andrés FelipeLa investigación aquí desarrollada contempla cómo los recursos de construcción de proyecto de vida y marca personal influyen e impactan a mujeres jóvenes en su formación y preparación para el primer trabajo, y cómo esto, puede aportar a la reducción en el desempleo juvenil femenino en Colombia y al acceso a más y mejores oportunidades. Además, se analiza de qué manera estos recursos pueden convertirse en una herramienta de autoconfianza y exploración que acompañe a la mujer en el proceso de preparación para el primer trabajo, como una herramienta guía y de acompañamiento para las jóvenes en los últimos semestres de universidad. A partir de los resultados de la investigación, surge el diseño de Una a Una. Esta, es una pieza editorial que contiene preguntas de reflexión personal y ejercicios prácticos, cuyo objetivo es apoyar el proceso de autoconocimiento y exploración para la formación del proyecto de vida y la marca personal, con un enfoque hacia el mercado laboral, para que así Una a Una aporte a la preparación para los retos y desafíos que enfrentan las mujeres jóvenes que empiezan a aplicar a prácticas o al primer trabajo.Publicación Acceso abierto A univariate model for the S&P 500 futures real estate market and its ability to predict real construction activity in the United States(Universidad de los Andes, 2023-01-11) Salcedo Sánchez, Elkin Julián; Prado, Melissa; Taborda Ríos, Rodrigo; 71772568; Sommer Ribeiro, Gonçalo; Pereira, João; Social Sciences DataLabThis paper examines the ability of a univariate model to predict real construction activity in the United States using the S&P 500 futures real estate market as a proxy. A time-series model is constructed using its historical prices and identify a significant relationship between the proposed variables. By incorporating other economic and financial indicators, the model can be used to accurately forecast future construction activity. The results of this study provide useful information for investors and policymakers to better understand the dynamics of the real estate market in the United States and predict forthcoming construction activity.Publicación Acceso abierto A value-based decision models customer networks - a theoretical investigation and aplication in the product configuration context(Uniandes, 2008) Ardila Arenas, Angela María; González Céspedes, Víctor Andrés; Thiell, MarcusPublicación Acceso abierto A&C logistics and event production valuation through discounted cash flow method(Universidad de los Andes, 2020) Casas Rosales, Mateo; Queiró, Francisco; González Ferrero, Maximiliano; Dávila, Juan PabloThis document estimates the approximate market value for A&C Logistics and Event Production. For this, the company and its financial indicators are analyzed. Then, the parameters and assumptions for its projection are established. Subsequently, a discounted cash flow valuation is carried out, ending with a sensitivity analysis based on the result obtained.Publicación Acceso abierto Acercamiento al comportamiento del tendero(Uniandes, 2005) Páez Barreto, Jorge Eduardo; Pérez Gracia, Sandra Patricia; Luque Carulla, EnriquePublicación Acceso abierto Acercamiento al comportamiento del tendero(Universidad de los Andes, 2006) Páez Barreto, Jorge Eduardo; Pérez Gracia, Sandra Patricia; Luque Carulla, EnriquePublicación Acceso abierto Acero inoxidable en la industria de servicios - hoteles y restaurantes(Uniandes, 2003) Martínez Navas, Juan Carlos; Pérez Cifuentes, GabrielPublicación Acceso abierto Acopi y su papel en la creación de capacidades para la internacionalización de sus agremiados(Uniandes, 2005) Angel Giraldo, Santiago; Hernández Chaustre, Sergio Alberto de JesúsPublicación Acceso abierto La acreditación un análisis comparado(Uniandes, 2003) Ibarra Rosero, Mónica Cecilia; Páez Quintero, Doris Cecilia; Orozco Silva, Luis EnriquePublicación Acceso abierto Actitud del consumidor frente a los jardines infantiles en estratos 4, 5 y 6 en el norte de Bogotá(Universidad de los Andes, 2008) Ruiz Salazar, Juan Camilo; Barrios Fajardo, Andrés AlbertoPublicación Acceso abierto Activación de marca : qué significa y cuál es su trascendencia en mercadeo(Uniandes, 2006) Wills Salas, Ricardo; Pérez Cifuentes, GabrielPublicación Acceso abierto Activación de marca como herramienta para impulsar ventas de productos en el mercado de consumo masivo y selectivo en Bogotá-Colombia(Uniandes, 2009) Vallejo Sánchez, Jorge Luis; Sanabria Tirado, Raúl; Hoof, Bart vanPublicación Acceso abierto La actividad empresarial de los inmigrantes "arabes" en San Andrés 1953-2000(Uniandes, 2005) Malvehy Ramírez, Daniel Enrique; Ramírez Galeano, Sebastián; Molina Londoño, Luis FernandoPublicación Embargo Adaptive Market Hypothesis: An application to financial and carbon pricing markets(Universidad de los Andes, 2024-06-18) Cruz Hernández, Andrés Raúl; Mora Valencia, Andrés; Cortés Durán, Lina Marcela; Carmona Muñoz, Diana MilenaThe Adaptive Markets Hypothesis (AMH) is an economic theory that proposes that asset prices in financial markets adjust gradually to available information as investors learn and adapt to their expectations rather than automatically, instantaneously, or perfectly, as proposed by the Efficient Markets Hypothesis (EMH). The AMH may provide a more realistic explanation of asset price behavior since empirical evidence suggests that investors are imperfectly rational and have limited access to information. On the other hand, if prices gradually adjust to available information, then investors can earn profits by taking advantage of temporary imbalances in prices. Furthermore, the AMH suggests that prices can deviate from their fundamental value if investors overreact to available information, which can help explain phenomena such as bubbles and financial crises. This thesis aims to address three central issues related to financial market efficiency as a field of research. On the one hand, the use of econophysics to study financial time series as well as their commonalities with the AMH. On the other hand, eight financial indices of emerging economies are evaluated in light of the AMH. Finally, three indices related to carbon pricing are studied from the same perspective. Therefore, in the first chapter of the thesis, we briefly review the path that physics has taken toward economics in the last two centuries and how it has been a cornerstone for recognizing some features of financial markets that classical economic theory ignored for many years. We also analyze some gaps found in the literature and we highlight some flaws that may arise from the use of linear measurements in non-linear phenomena. Finally, we propose future research opportunities that could be useful to evaluate the information efficiency (which aligns with the perspective of the AMH) of both the stock markets of emerging economies and the emissions trading scheme. This chapter functions as a theoretical bridge between the empirical analyses developed in the second and third chapters. Considering that the efficiency of market information varies over time, in the second chapter was carried out a dynamic analysis of the representative stock indices from Brazil, Chile, Peru, Mexico, and Colombia, as well as three regional indices from Asia, Eastern Europe, and Latin America. For this reason, three versions of the Variance Ratio test were used, as well as the nonlinear Brock-Dechert-Sheinkman (BDS) predictability test. Likewise, we performed the Domínguez–Lobato and Generalized Spectral tests to evaluate the Martingale difference hypothesis. On the other hand, it was considered the most relevant news related to the possible market inefficiencies detected by these four tests. Finally, given that one of the “main rules” in finance is that the greater the risk in an investment is, the greater the return it should be obtained, a GARCH-M model was employed to evaluate the return-risk relationship and determine if this condition is maintained throughout the time. Our results suggest that the predictability of the index returns varies; that is, the efficiency of each market behaves differently over time. In general, the indices of these analyzed emerging markets satisfy the AMH, given the changing behavior between periods of efficiency and inefficiencies. In the third chapter of this thesis, we evaluate the AMH and the level of efficiency of three representative indices of the emissions trading scheme (ETS). To this aim, the Domínguez-Lobato and Generalized Spectral tests are utilized to evaluate whether there is dependence in the index returns or if they follow a Martingale Difference Sequence. Additionally, an Adjusted Market Inefficiency Magnitude (AMIM) measure is estimated to quantify the level of market (in)efficiency. With the aforementioned results, we propose a graphical representation of the AMH through a two-state Markov chain. Likewise, for a more complete analysis, we examine the behavior of these indices not only throughout the whole sample period but also by dividing the data according to Phases 2 and 3 of the European Union ETS. Our findings indicate variability in efficiency levels over time and in each index. We also identify the presence of nonlinearity in the time series returns. Consequently, the examined ETS indices fit the AMH, revealing fluctuations between periods of efficiency and inefficiency. This implies that market efficiency and market anomalies can coexist within an emissions trading scheme. Finally, at the end of the document, the conclusions derived from the aforementioned chapters are presented, as well as some recommendations for future research.Publicación Acceso abierto Administración basada en virtudes(Uniandes, 2003) Vargas Briceño, Ricardo Antonio; Patiño Galán, Luis Miguel; González Couture, Gustavo AlfonsoPublicación Acceso abierto Administración de cartera en el sector de plasticos(Uniandes, 2005) Guerrero, Sandra Patricia; Serrano Rodríguez, JavierPublicación Acceso abierto Administración de categorías : análisis de la estrategia de Kellogg's en Carulla(Uniandes, 2005) Polo Otero, Cecilia María; Mansilla Mejía, Carlos AlfredoEste proyecto investigó la administración de categorías y su aplicación en la promoción de cereales listos para consumir, para fomentar la compra y apoyar las acciones de la fuerza de ventas, la publicidad y el merchandising. La gerencia de categorías, es una importante estrategia en la cual se genera una relación gana-gana entre el proveedor y comerciante con la finalidad de dar al consumidor el surtido que quiere, donde y cuando lo quiere apoyado con una estrategia de precios, además se debe tener en cuenta que el punto de venta es la última oportunidad de promover un producto para que el consumidor dé el paso final para la adquisición del producto. La técnica para la recolección de la información fue la aplicación de entrevistas con el objeto de conocer la importancia que puede tener para los gerentes de categorías aplicar las promociones en los puntos de venta conjuntamente con la gerencia de categorías; para los gerentes de promociones de las empresas con puntos de ventas, y a los especialistas en el tema...