Matías Santana, the director of the MBA program at Universidad de Las Américas (UDLA) in Ecuador, was recognized with the Best Paper in Quantitative Finance Award for his article, “Modelling attitudes in Latin America based on risk and reward.” This recognition was delivered during the Tenth Convention of Quantitative Finance, which was organized by Universidad de La Sabana and BBVA Santander in Bogotá, Colombia.
The goal of the research was to determine if certain cultural values influence the perception of risk and the returns required by investors from different regions. Santana developed a mathematical behavioral model that analyzed the decisions of investors of Anglo-Saxon heritage and those with Latin American heritage. Through a computer simulation, agents from the different groups were put into a number of potential investment situations with various risk and reward profiles.
The simulations proved that decisions made by the two groups differ significantly in two dimensions: long term focus and attitudes regarding risk. Investors with an Anglo-Saxon background made decisions and had required returns that were largely based on the capital asset pricing model (CAPM), while investors from Latin America made decisions that were not supported by the model. The outcome shows that CAPM does not predict the relationship between risk and return equally well among different groups.
Santana earned his doctoral degree in management and organization from Capella University (Minneapolis, USA), his MBA from Instituto de Estudios Superiores en Administración (Caracas, Venezuela) and an undergraduate degree in civil engineering from Universidad Metropolitana in Caracas, Venezuela.
This article has been translated into English to be shared on the Laureate International Universities website.