@techreport{20.500.12134/5528,
author = {Reveiz-Herault, Alejandro},
year = {2008},
month = {4},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/5528},
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},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 511},
title = {The factor-portfolios approach to asset management using genetic algorithms},
keywords = {Active management},
keywords = {Portfolio optimization},
keywords = {Genetic algorithms},
keywords = {Propensities},
doi = {https://doi.org/10.32468/be.511},
}