dc.creator	Reveiz-Herault, Alejandro
dc.creator	León-Rincón, Carlos Eduardo
dc.date.created	2008-06-20
dc.date.issued	2008-06-20
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/5537
dc.description.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
dc.format.mimetype	PDF
dc.language.iso	spa
dc.publisher	Banco de la República
dc.relation.ispartof	Documentos de Trabajo
dc.relation.ispartofseries	Borradores de Economía
dc.relation.isversionof	Borradores de Economía; No. 520
dc.rights.accessRights	Open Access
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.title	Efficient portfolio optimization in the wealth creation and maximum drawdown space
dc.type	Working Paper
dc.subject.jel	G11 - Portfolio Choice; Investment Decisions
dc.subject.jel	G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
dc.subject.jel	G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
dc.subject.jel	D81 - Criteria for Decision-Making under Risk and Uncertainty
dc.subject.keyword	Portfolio optimization
dc.subject.keyword	Asset allocation
dc.subject.keyword	Downside risk
dc.subject.keyword	Maximum drawdown
dc.subject.keyword	Mean-variance Criteria
dc.subject.keyword	Diversification
dc.subject.lemb	Portafolio de inversiones
dc.subject.lemb	Pensiones anuales
dc.type.spa	Documentos de trabajo
dc.rights.spa	Acceso abierto
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspa	G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
dc.subject.jelspa	D81 - Criterios para la toma de decisiones con riesgo e incertidumbre
dc.subject.jelspa	G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales
dc.subject.jelspa	G11 - Selección de cartera; Decisiones de inversión
dc.type.hasversion	Published Version
dc.coverage.sucursal	Bogotá
dc.relation.doi	https://doi.org/10.32468/be.520
dc.rights.disclaimer	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.
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/520.html
dc.relation.dotec	https://ideas.repec.org/p/col/000094/004732.html
dc.identifier.handle	https://hdl.handle.net/20.500.12134/5537
dc.creator.firma	Carlos León
dc.source.handleRepec	RePEc:bdr:borrec:520
dc.source.handleRepec	RePEc:col:000094:004732

Efficient portfolio optimization in the wealth creation and maximum drawdown space

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