Efficient portfolio optimization in the wealth creation and maximum drawdown space
Borradores de Economía; No. 520
Date published
2008-06-20Date of last update
2008-06-20Document language
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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
First 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
JEL Codes
G11 - Portfolio Choice; Investment DecisionsG23 - Non-bank Financial Institutions; Financial Instruments; Institutional InvestorsG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; GoodwillD81 - Criteria for Decision-Making under Risk and Uncertainty
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URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5537https://hdl.handle.net/20.500.12134/5537
https://doi.org/10.32468/be.520
https://ideas.repec.org/p/bdr/borrec/520.html
https://ideas.repec.org/p/col/000094/004732.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
