dc.coverage.sucursal	Bogotá	spa
dc.creator	León-Rincón, Carlos Eduardo
dc.creator	Reveiz-Herault, Alejandro
dc.creator.firma	Carlos León	spa
dc.date.accessioned	2010-09-20T08:30:10Z	eng
dc.date.available	2010-09-20T08:30:10Z
dc.date.created	2010-09-20
dc.date.issued	2010-09-20
dc.description.abstract	Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document	eng
dc.format.mimetype	PDF	spa
dc.identifier.handle	https://hdl.handle.net/20.500.12134/5639	spa
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/5639
dc.language.iso	spa	spa
dc.publisher	Banco de la República	spa
dc.relation.doi	https://doi.org/10.32468/be.622	spa
dc.relation.dotec	https://ideas.repec.org/p/col/000094/007487.html	spa
dc.relation.ispartof	Documentos de Trabajo	spa
dc.relation.ispartofseries	Borradores de Economía	spa
dc.relation.isversionof	Borradores de Economía; No. 622
dc.relation.number	Borrador 622	spa
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/622.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:000094:007487	spa
dc.subject.jel	G20 - Financial Institutions and Services: General	eng
dc.subject.jelspa	G20 - Instituciones y servicios financieros: Generalidades	spa
dc.subject.keyword	Portfolio optimization	eng
dc.subject.keyword	Hurst exponent	eng
dc.subject.keyword	Long-term dependence	eng
dc.subject.keyword	Biased random walk	eng
dc.subject.keyword	Rescaled range analysis	eng
dc.subject.lemb	Optimización de cartera	spa
dc.subject.lemb	Exponente de Hurst	spa
dc.subject.lemb	Rentabilidad bancaria	spa
dc.subject.lemb	Riesgo financiero	spa
dc.subject.lemb	Administración del portafolio	spa
dc.title	Portfolio optimization and long-term dependence	spa
dc.type	Working Paper	eng
dc.type.hasversion	Published Version	eng
dc.type.spa	Documentos de trabajo	spa

Portfolio optimization and long-term dependence

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