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Cambridge Finance Seminar - Alejandro Reynoso

When May 29, 2014
from 05:00 PM to 06:00 PM
Where Barbara White Room, Newnham College
Contact Name
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Cambridge Finance Seminar

 

Thursday 29th May,

Barbara White Room, Newnham College

5-6pm

 

 

Dr Alejandro Reynoso (Mexico)  

 

  FIRST-IN-CLASS:  THREE CASES OF FINANCIAL INNOVATION IN MEXICO

 

 

                             

This is a document that presents three examples of development and implementation of first-in-class financial products in Mexico led by the author between 2011 and 2014. The first hedge fund, the first fundamentally weighted ETF and the first REIT.

Each one of the cases is presented in a way that highlights the connection between concrete market needs, the use of contemporary tools for analysis and design and a pragmatic adaptation of the ideas to the market infrastructure and legal and tax environment.

From a technical standpoint the cases highlight the use of tools such as the design of expert systems for hedge fund asset allocation algorithms, constrained and unconstrained dynamic portfolio optimization and the application of Simulink to solving dynamic non-linear deterministic and stochastic programming models characteristic of structured contracts like REITS

All cases also leave the reader with some useful references for further academic work. For example we found the factor-loading specification of a long-short technically based hedge fund by doing the reverse-engineering of the fund described in the document. We also highlighted the factors that emerge from optimized indexes and addressed issues of optimal contracting and solutions to the principal-agent contradictions in the specific structures of the Mexican REITS

 

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