Investment horizon dependent CAPM : adjusting beta for long-term dependence

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dc.coverage.sucursalBogotáspa
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creatorLeiton-Rodríguez, Karen Juliet
dc.creatorReveiz-Herault, Alejandro
dc.creator.firmaCarlos León
dc.date.accessioned2012-08-18T08:30:10Zeng
dc.date.available2012-08-18T08:30:10Z
dc.date.created2012-08-18
dc.date.issued2012-08-18
dc.description.abstractFinancial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to teng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5775spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5775
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.730spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 730
dc.relation.numberBorrador 730spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/730.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:730spa
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelspaC14 - Métodos semiparamétricos y no paramétricos: generalidadesspa
dc.subject.keywordCAPMeng
dc.subject.keywordHurst exponenteng
dc.subject.keywordLong-term dependenceeng
dc.subject.keywordFractional brownian motioneng
dc.subject.keywordAsset allocationeng
dc.subject.keywordInvestment horizoneng
dc.subject.lembRendimiento financierospa
dc.subject.lembRiesgo financierospa
dc.subject.lembConfianza (Inversiones)spa
dc.subject.lembInversionesspa
dc.subject.lembActivos financieros -- Valoración -- Modelosspa
dc.titleInvestment horizon dependent CAPM : adjusting beta for long-term dependencespa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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