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dc.creatorReveiz-Herault, Alejandro
dc.creatorLeón-Rincón, Carlos Eduardo
dc.date.created2008-06-20
dc.date.issued2008-06-20
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/5537
dc.description.abstractFirst 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
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. 520
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleEfficient portfolio optimization in the wealth creation and maximum drawdown space
dc.typeWorking Paper
dc.subject.jelG23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
dc.subject.jelD81 - Criteria for Decision-Making under Risk and Uncertainty
dc.subject.jelG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
dc.subject.jelG11 - Portfolio Choice; Investment Decisions
dc.subject.keywordPortfolio optimization
dc.subject.keywordAsset allocation
dc.subject.keywordDownside risk
dc.subject.keywordMaximum drawdown
dc.subject.keywordMean-variance Criteria
dc.subject.keywordDiversification
dc.subject.lembPortafolio de inversiones
dc.subject.lembPensiones anuales
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaG23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales
dc.subject.jelspaG11 - Selección de cartera; Decisiones de inversión
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.jelspaD81 - Criterios para la toma de decisiones con riesgo e incertidumbre
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.relation.doihttps://doi.org/10.32468/be.520
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 520
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/520.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/004732.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/5537
dc.creator.firmaCarlos León
dc.source.handleRepecRePEc:bdr:borrec:520


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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