Portfolio Optimization and Long-Term Dependence
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- Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015.
"An Asset Allocation Framework with Tranches for Foreign Reserves,"
BORRADORES DE ECONOMIA
013440, BANCO DE LA REPÚBLICA.
- Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015. "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia 899, Banco de la Republica de Colombia.
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KeywordsPortfolio optimization; Hurst exponent; long-term dependence; biased random walk; rescaled range analysis. Classification JEL: G11; G32; G20; C14.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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