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dc.creatorReveiz-Herault, Alejandro
dc.date.created2008-04-19
dc.date.issued2008-04-19
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/5528
dc.description.abstractWe 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
dc.format.mimetypePDF
dc.language.isospa
dc.publisherBanco de la República
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 511
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleThe factor-portfolios approach to asset management using genetic algorithms
dc.typeWorking Paper
dc.subject.jelG11 - Portfolio Choice; Investment Decisions
dc.subject.jelG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
dc.subject.jelG14 - Information and Market Efficiency; Event Studies; Insider Trading
dc.subject.keywordActive management
dc.subject.keywordPortfolio optimization
dc.subject.keywordGenetic algorithms
dc.subject.keywordPropensities
dc.subject.lembInversiones
dc.subject.lembPortafolio de inversiones
dc.subject.lembRiesgo (Economía)
dc.subject.lembAlgoritmos genéticos
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaG14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada
dc.subject.jelspaG32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
dc.subject.jelspaG11 - Selección de cartera; Decisiones de inversión
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.relation.doihttps://doi.org/10.32468/be.511
dc.rights.disclaimerLas 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.
dc.relation.numberBorrador 511
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/511.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/004626.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/5528
dc.source.handleRepecRePEc:bdr:borrec:511


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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit