Whilst emphasis has been given to short-term dependence of financial returns, long term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document's long-term dependence assessment relies...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

Despite foreign reserves' strategic asset allocation relies mainly on Modern Portfolio Theory (MPT), the unique characteristics of central banks obliges them to articulate and reconcile typical optimization procedures with reserves' management objectives such as providing confidence regarding...

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite the fact than financial literature provides evidence of long-term memory existence, serial-independence assumption prevails. This document's long-term dependence...

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...