Portfolio optimization and long-term dependence
Borradores de Economía; No. 622
Date published
2010-09-20Date of last update
2010-09-20Document 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
Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document
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https://repositorio.banrep.gov.co/handle/20.500.12134/5639https://hdl.handle.net/20.500.12134/5639
https://doi.org/10.32468/be.622
https://ideas.repec.org/p/bdr/borrec/622.html
https://ideas.repec.org/p/col/000094/007487.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
