The factor-portfolios approach to asset management using genetic algorithms

Simple item page
dc.coverage.sucursalBogotáspa
dc.creatorReveiz-Herault, Alejandro
dc.date.accessioned2008-04-19T08:30:10Zeng
dc.date.available2008-04-19T08:30:10Z
dc.date.created2008-04-19
dc.date.issued2008-04-19
dc.description.abstractWe 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 peng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5528spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5528
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.511spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/004626.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 511
dc.relation.numberBorrador 511spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/511.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:511spa
dc.subject.jelG11 - Portfolio Choice; Investment Decisionseng
dc.subject.jelspaG11 - Selección de cartera; Decisiones de inversiónspa
dc.subject.keywordActive managementeng
dc.subject.keywordPortfolio optimizationeng
dc.subject.keywordGenetic algorithmseng
dc.subject.keywordPropensitieseng
dc.subject.lembInversionesspa
dc.subject.lembPortafolio de inversionesspa
dc.subject.lembRiesgo (Economía)spa
dc.subject.lembAlgoritmos genéticosspa
dc.titleThe factor-portfolios approach to asset management using genetic algorithmsspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

Files

Original bundle
Now showing 1 - 5 of 5
Thumbnail Image
Name:
be_511.pdf
Size:
473.98 KB
Format:
Adobe Portable Document Format
Description:
Borrador de Economia No. 511
Download
Thumbnail Image
Name:
BDE-511-001.JPG
Size:
56.7 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
Description:
Imagen 511-001
Download
Thumbnail Image
Name:
BDE-511-002.JPG
Size:
82.83 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
Description:
Imagen 511-002
Download
Thumbnail Image
Name:
BDE-511-003.JPG
Size:
66.21 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
Description:
Imagen 511-003
Download
Thumbnail Image
Name:
BDE-511-004.JPG
Size:
67.42 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
Description:
Imagen 511-004
Download
License bundle
Now showing 1 - 1 of 1
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download

Collections

Borradores de Economía