The factor-portfolios approach to asset management using genetic algorithms

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Borradores de Economía; No. 511
Date published
2008-04-19
Date of last update
2008-04-19
Author
Reveiz-Herault, Alejandro
Document language
spa
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Las 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
JEL Codes
G11 - Portfolio Choice; Investment DecisionsG14 - Information and Market Efficiency; Event Studies; Insider TradingG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Keywords
Active management ; Portfolio optimization ; Genetic algorithms ; Propensities ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5528
https://hdl.handle.net/20.500.12134/5528
https://doi.org/10.32468/be.511
https://ideas.repec.org/p/bdr/borrec/511.html
https://ideas.repec.org/p/col/000094/004626.html
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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