Efficient portfolio optimization in the wealth creation and maximum drawdown space

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Borradores de Economía; No. 520

Date published

2008-06-20

Date

2008-06-20

Authors

Reveiz-Herault, Alejandro
León-Rincón, Carlos Eduardo

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ISSN

ISBN

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

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JEL Codes

G11 - Portfolio Choice; Investment Decisions

Temática

Keywords

Keywords

Portfolio optimization , Asset allocation , Downside risk , Maximum drawdown , Mean-variance Criteria , Diversification

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5537
 https://hdl.handle.net/20.500.12134/5537
 https://ideas.repec.org/p/bdr/borrec/520.html
 https://doi.org/10.32468/be.520

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