Portfolio Optimization and Long-Term Dependence
Authors: | León, Carlos ; Reveiz, Alejandro |
---|---|
Institutions: | Banco de la Republica de Colombia |
Subject: | Portfolio optimization | Hurst exponent | long-term dependence | biased random walk | rescaled range analysis |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure ; G20 - Financial Institutions and Services. General ; C14 - Semiparametric and Nonparametric Methods |
Source: |
-
Portfolio Optimization and Long-Term Dependence
Rincón, Carlos Eduardo León, (2010)
-
Investment horizon dependent CAPM: Adjusting beta for long-term dependence
León, Carlos, (2012)
-
Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence
León, Carlos, (2012)
- More ...
-
Modelo de simulación del valor de la pensión de un trabajador en Colombia
Reveiz, Alejandro,
-
Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia
Reveiz, Alejandro,
-
Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
Reveiz, Alejandro,
- More ...