The factor-portfolios approach to asset management using genetic algorithms
dc.coverage.sucursal | Bogotá | spa |
dc.creator | Reveiz-Herault, Alejandro | |
dc.date.accessioned | 2008-04-19T08:30:10Z | eng |
dc.date.available | 2008-04-19T08:30:10Z | |
dc.date.created | 2008-04-19 | |
dc.date.issued | 2008-04-19 | |
dc.description.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 | eng |
dc.format.mimetype | spa | |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/5528 | spa |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/5528 | |
dc.language.iso | spa | spa |
dc.publisher | Banco de la República | spa |
dc.relation.doi | https://doi.org/10.32468/be.511 | spa |
dc.relation.dotec | https://ideas.repec.org/p/col/000094/004626.html | spa |
dc.relation.ispartof | Documentos de Trabajo | spa |
dc.relation.ispartofseries | Borradores de Economía | spa |
dc.relation.isversionof | Borradores de Economía; No. 511 | |
dc.relation.number | Borrador 511 | spa |
dc.relation.repec | https://ideas.repec.org/p/bdr/borrec/511.html | spa |
dc.rights.accessRights | Open Access | eng |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | eng |
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. | spa |
dc.rights.spa | Acceso abierto | spa |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
dc.source.handleRepec | RePEc:col:000094:004626 | spa |
dc.subject.jel | G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill | eng |
dc.subject.jelspa | G11 - Selección de cartera; Decisiones de inversión | spa |
dc.subject.keyword | Active management | eng |
dc.subject.keyword | Portfolio optimization | eng |
dc.subject.keyword | Genetic algorithms | eng |
dc.subject.keyword | Propensities | eng |
dc.subject.lemb | Inversiones | spa |
dc.subject.lemb | Portafolio de inversiones | spa |
dc.subject.lemb | Riesgo (Economía) | spa |
dc.subject.lemb | Algoritmos genéticos | spa |
dc.title | The factor-portfolios approach to asset management using genetic algorithms | spa |
dc.type | Working Paper | eng |
dc.type.hasversion | Published Version | eng |
dc.type.spa | Documentos de trabajo | spa |
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