Investment horizon dependent CAPM : adjusting beta for long-term dependence

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Borradores de Economía; No. 730

Date published

2012-08-18

Date

2012-08-18

Authors

León-Rincón, Carlos Eduardo
Leiton-Rodríguez, Karen Juliet
Reveiz-Herault, Alejandro

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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

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to t

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JEL Codes

C14 - Semiparametric and Nonparametric Methods: General

Temática

Keywords

Keywords

CAPM , Hurst exponent , Long-term dependence , Fractional brownian motion , Asset allocation , Investment horizon

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5775
 https://hdl.handle.net/20.500.12134/5775
 https://ideas.repec.org/p/bdr/borrec/730.html
 https://doi.org/10.32468/be.730

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