Efficient portfolio optimization in the wealth creation and maximum drawdown space

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dc.coverage.sucursalBogotáspa
dc.creatorReveiz-Herault, Alejandro
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creator.firmaCarlos León
dc.date.accessioned2008-06-20T08:30:10Zeng
dc.date.available2008-06-20T08:30:10Z
dc.date.created2008-06-20
dc.date.issued2008-06-20
dc.description.abstractFirst 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 ofeng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5537spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5537
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.520spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/004732.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 520
dc.relation.numberBorrador 520spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/520.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:520spa
dc.subject.jelG23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investorseng
dc.subject.jelspaD81 - Criterios para la toma de decisiones con riesgo e incertidumbrespa
dc.subject.keywordPortfolio optimizationeng
dc.subject.keywordAsset allocationeng
dc.subject.keywordDownside riskeng
dc.subject.keywordMaximum drawdowneng
dc.subject.keywordMean-variance Criteriaeng
dc.subject.keywordDiversificationeng
dc.subject.lembPortafolio de inversionesspa
dc.subject.lembPensiones anualesspa
dc.titleEfficient portfolio optimization in the wealth creation and maximum drawdown spacespa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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