The factor-portfolios approach to asset management using genetic algorithms
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Borradores de Economía; No. 511
Date published
2008-04-19
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2008-04-19
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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
We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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