Daniel Mantilla Garcia

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Daniel Mantilla Garcia

Daniel Mantilla Garcia

d.mantillag @uniandes.edu.co

Profesor Asistente

Oficina: SD_921

Extensión: 2300

Facultad de Administración

Información básica
Cursos
Productos
Proyectos

Información básica

Daniel Mantilla-Garcia es profesor de Finanzas en la Facultad de Administración de la Universidad de los Andes (Colombia), e investigador asociado del Instituto EDHEC-Risk (Francia). Actualmente su investigación se centra en soluciones óptimas de inversión para fondos de pensiones y optimización de portafolio. Anteriormente, Daniel se desempeñaba como director de investigación en Optimal Asset Management (California) diseñando estrategias de inversión por factores (factor-investing) y smart-beta para fondos de pensión y empresas administradoras de portafolio de particulares. Antes de esto, Daniel fue director de investigación y desarrollo en Koris International (France), una empresa de administración de activos especializada en estrategias de asignación dinámica de activos para inversionistas institucionales. Su investigación ha sido publicada en revistas indexadas de corte académico y aplicado, tales como el Journal of Financial and Quantitative Analysis, el Journal of Investment Management, Financial Markets and Portfolio Management, y Algorithmic Finance. Daniel tiene un PhD en Finanzas, una Maestría científica en Riesgo y Administración de Activos del EDHEC Business School (Francia), y es Ingeniero Industrial de la Universidad de los Andes con opciones en Economía y Matemáticas Aplicadas.

Cursos Recientes

  • 2021
    • ASSET MANAGEMENT (ESPAÑOL)

      Primer Periodo
      Licenciatura

      DECISIONES DE INVERSIÓN

      Primer Periodo
      Licenciatura

Productos Recientes

Mantilla D.
Seminario Mejores Practicas en Fondos de Pensiones, Superintendencia Financiera de Colombia
Evento
Mantilla D, Gonzalez N .(2020). ¿Cómo tomar SELFIES en Colombia?.
¿Cómo tomar SELFIES en Colombia?
Tesis

Proyectos Recientes

  • 2018
    • Improvements and Relevance of Long-Term Investment Strategies

      Duración: 36 meses

      PR.3.2018.5029

      Crucial aspects of dynamic-allocation based portfolio insurance strategies will be the object of study, such as the estimation of the upper bound of the multiplier (i.e. the coefficient of the risk budget) that allows such strategies to secure its risk-management goals, even in catastrophic scenarios. Beyond that, we will study the benefits that an optimal multiplier, obtained from utility maximization, could bring to a prospect-theory type of investor. This study would complement the recent works that show how standard portfolio insurance strategies implemented with the maximum multiplier (i.e. upper bound) provide higher utility to prospect-theory investors than other “benchmark” asset allocation strategies.Another contribution to the literature that we aim for is on the study of the excess growth rate (also known as diversification return, or volatility return) of diversified factor portfolios, and its implications for factor allocation strategies. The volatility return represents a larger proportion of the total return of portfolios with homogeneous assets, and “smart beta” factor portfolios are by construction constituted with homogenous assets. Considering the relevance that factor portfolios have gained over the last decade in the theory and practice of asset management (see for instance Ang, 2014), we will study the extent to which the volatility return drives well-documented factor premia, such as the value premium, the small cap premium, the momentum premium and the low volatility premium. Early results from our research indicate a strong link between the volatility return and the cross-sectional variance of stock returns. In addition, Garcia, Mantilla-Garcia and Martellini (2014), found that the cross-sectional variance of returns has a one-to-one relation with the average idiosyncratic variance of the stocks in the portfolio. Thus, the relationship with the volatility return that we are starting to observe, could explain the predictive power of idiosyncratic variance. After assessing the extent to which the volatility return matters for risk factor premia we aim to explore possible implications for factor allocation strategies.Furthermore, a study will be carried out with the aim of assessing the potential benefits for the Colombian pension system in terms of effectiveness in securing minimum consumption goals that could bring the issuance (by the national government or other entities) of forward-starting, coupon-only bonds (possibly inflation-adjusted) with long enough maturities to match retirement income goals for pensioners. This type of security called retirement SeLFIES (Standard of Living indexed, Forward-starting, Income-only Securities) can provide a perfect hedging instrument of the future consumption needs of any pensioner, thus constituting the ideal LHP for any investor saving for retirement. 

Cursos

  • 2021
    • ASSET MANAGEMENT (ESPAÑOL)

      Primer Periodo
      Licenciatura

      DECISIONES DE INVERSIÓN

      Primer Periodo
      Licenciatura
    • ADMNISTRACION DE PORTAFOLIO

      Primer Periodo
      Maestría
  • 2020
    • DECISIONES DE INVERSIÓN

      Segundo Periodo
      Licenciatura

      DECISIONES INVERSIÓN (INGLÉS)

      Segundo Periodo
      Licenciatura
    • ASSET MANAGEMENT

      Primer Periodo
      Licenciatura
  • 2019
    • DECISIONES DE INVERSION

      Primer Periodo
      Licenciatura

      GERENCIA ACTIVOS FINANCIEROS

      Primer Periodo
      Licenciatura
    • DECISIONES DE INVERSION

      Segundo Periodo
      Licenciatura
  • 2018
    • GERENCIA ACTIVOS FINANCIEROS

      Primer Periodo
      Licenciatura

      DECISIONES DE INVERSION

      Segundo Periodo
      Licenciatura
    • DECISIONES DE INVERSION

      Primer Periodo
      Licenciatura
  • 2017
    • PROYECTO

      Segundo Periodo
      Maestría

Productos

Mantilla D.
Seminario Mejores Practicas en Fondos de Pensiones, Superintendencia Financiera de Colombia
Evento
Mantilla D, Gonzalez N .(2020). ¿Cómo tomar SELFIES en Colombia?.
¿Cómo tomar SELFIES en Colombia?
Tesis
Mantilla D.
2019 Montevideo, Seminario Internacional AIOS-BID
Evento
Mantilla D. (2019)
Assets' Dependence Structure Implications for Portfolio Insurance Strategies
Otro
Mantilla D, Ospina J. (2019)
Bonos de jubilación: Un elemento fundamental para la reforma pensional
Otro
Mantilla D.
Financial Engineering and Banking Society International Conference 2019 in Prague
Evento
Mantilla D. (2019)
La insuficiencia del régimen de ahorro individual y cómo atacarla
Columna de Opinión
Mantilla D, ter Horst E, Molina G, Audeguil E.
Ponencia Paper en EFMA meetings 2019, Portugal
Evento
Mantilla D.
World Economic Forum - Workshop: Retirement Investment Systems Reform Project
Evento
Mantilla D.
Maximizing the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets
Evento
Mantilla D. (2018)
Maximizing the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets
Otro
Mantilla D.
Ponencia paper en "Financial Engineering and Banking Society, 8th International Conference"
Evento
Mantilla D, Martellini L.
Resarch Chair Proposal for Colfondos "Improved Forms of Goal-Based Investment Strategies for a More Efficient Management of Retirement Savings"
Otro(s)
Mantilla D. (2018)
SELFIES de jubilación: el arma secreta para aumentar la cobertura
La Nota Económica (ISSN 0123-3394)
Columna de Opinión
Mantilla D.
¿Qué problemas pueden resolver los SeLFIES de jubilación?
Evento
Mantilla D. (2018)
‘Selfies’ de jubilación para mayor cobertura
Portafolio (ISSN 0123-6326)
Columna de Opinión
Mantilla D. (2017)
Predicting stock returns in the presence of uncertain structural changes and sample noise
Financial Markets and Portfolio Management (ISSN 1555-497X)
Artículo
Mantilla D.
Disentangling the Volatility Return: A Predictable Return Driver of Any Diversified Portfolio
Evento
Mantilla D.
An Alternative Model of Expected Returns and its Implications for Return Predictability
Evento
Mantilla D. (2015)
An Alternative Model of Expected Returns and its Implications for Return Predictability
Otro
Mantilla D. (2015)
Growth Optimal Portfolio Insurance for Long-Term Investors
Journal of Investment Management (ISSN 0154-5914)
Artículo
Mantilla D. (2014)
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
Journal of Financial and Quantitative Analysis (ISSN 0022-1090)
Artículo
Mantilla D. (2014)
Dynamic allocation strategies for absolute and relative loss control
Algorithmic Finance (ISSN 2158-5571)
Artículo
Mantilla D. (2014)
Dynamic-Allocation-Based Portfolio Insurance for Long-Term Investors Pensions & Investments
Artículo
Mantilla D. (2014)
Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Multiplier?
Otro
Mantilla D. (2014)
Tail-Risk Tracking Error Estimation with Copulas and Implications for Portfolio Insurance
Otro
Mantilla D.
Advanced Topics in Finance II - Asset Allocation
Evento
Mantilla D.
Efficient Risk Transfer under Solvency II
Evento
Mantilla D.
Advances in Dynamic Risk Control
Evento
Mantilla D. (2011)
Essays on Idiosyncratic Risk and Return Predictability
Artículo
Mantilla D.
Predicting Stock Returns in the presence of Uncertain Structural Changes and Sample Noise
Evento
Mantilla D.
Optimal Portfolio choice: an integrated extreme risk management approach
Evento
Mantilla D. (2008)
Optimal portfolio choice: An Extreme Risk Management Approach, Cahiers du Centre
Artículo
Mantilla D.
Análisis del Precio Internacional del Petróleo con la Teoría del Valor Extrem
Evento

Proyectos

  • 2018
    • Improvements and Relevance of Long-Term Investment Strategies

      Duración: 36 meses

      PR.3.2018.5029

      Crucial aspects of dynamic-allocation based portfolio insurance strategies will be the object of study, such as the estimation of the upper bound of the multiplier (i.e. the coefficient of the risk budget) that allows such strategies to secure its risk-management goals, even in catastrophic scenarios. Beyond that, we will study the benefits that an optimal multiplier, obtained from utility maximization, could bring to a prospect-theory type of investor. This study would complement the recent works that show how standard portfolio insurance strategies implemented with the maximum multiplier (i.e. upper bound) provide higher utility to prospect-theory investors than other “benchmark” asset allocation strategies.Another contribution to the literature that we aim for is on the study of the excess growth rate (also known as diversification return, or volatility return) of diversified factor portfolios, and its implications for factor allocation strategies. The volatility return represents a larger proportion of the total return of portfolios with homogeneous assets, and “smart beta” factor portfolios are by construction constituted with homogenous assets. Considering the relevance that factor portfolios have gained over the last decade in the theory and practice of asset management (see for instance Ang, 2014), we will study the extent to which the volatility return drives well-documented factor premia, such as the value premium, the small cap premium, the momentum premium and the low volatility premium. Early results from our research indicate a strong link between the volatility return and the cross-sectional variance of stock returns. In addition, Garcia, Mantilla-Garcia and Martellini (2014), found that the cross-sectional variance of returns has a one-to-one relation with the average idiosyncratic variance of the stocks in the portfolio. Thus, the relationship with the volatility return that we are starting to observe, could explain the predictive power of idiosyncratic variance. After assessing the extent to which the volatility return matters for risk factor premia we aim to explore possible implications for factor allocation strategies.Furthermore, a study will be carried out with the aim of assessing the potential benefits for the Colombian pension system in terms of effectiveness in securing minimum consumption goals that could bring the issuance (by the national government or other entities) of forward-starting, coupon-only bonds (possibly inflation-adjusted) with long enough maturities to match retirement income goals for pensioners. This type of security called retirement SeLFIES (Standard of Living indexed, Forward-starting, Income-only Securities) can provide a perfect hedging instrument of the future consumption needs of any pensioner, thus constituting the ideal LHP for any investor saving for retirement.