The factor-portfolios approach to asset management using genetic algorithms
Borradores de Economía; No. 511
Fecha de publicación
2008-04-19Idioma del documento
spaLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p
Códigos JEL
Keywords
URI
http://repositorio.banrep.gov.co/handle/20.500.12134/5528http://hdl.handle.net/20.500.12134/5528
https://ideas.repec.org/p/bdr/borrec/511.html
https://ideas.repec.org/p/col/000094/004626.html
Colecciones
- Borradores de Economía [1067]
