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Conditional models in performance evaluation of investment funds in Portugal: s...
Afonso, Osvaldo; Rodrigues, Paulo M. M.; Viegas, CristinaInvestment funds’ performance evaluation is one area of finance which has observed many developments over the past 40 years. In this field, traditional techniques of evaluation have not made use of models of conditional returns. These approaches do not allow for the temporal dependence of expected returns. To overcome this problem, Ferson and Schadt (1996) developed a new conditional performance evaluation ...
Mortgage valuation: a quasi-closed form solution
Viegas, Cristina; Azevedo-Pereira, JoséThe main objective of this study consists in developing a quasi-analytical solution for the valuation of commercial mortgages. We consider the existence of a single source of risk - the risk of defaulting on a mortgage - and therefore, the existence of a single state variable - the value of the mortgaged property. The value of the mortgage corresponds to the present value of the future payments on the loan,...
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