Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
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- Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.
References listed on IDEAS
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"The case for active management from the perspective of Complexity Theory,"
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"Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 78-113, June.
- Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Revista ESPE - Ensayos Sobre PolÃtica Económica, Banco de la República - ESPE, vol. 26(56), pages 78-113, June.
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- Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008.
"Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 78-113, June.
- Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," BORRADORES DE ECONOMIA 004599, BANCO DE LA REPÚBLICA.
- Alejandro Reveiz & Carlos león & Juan Mario laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Borradores de Economia 507, Banco de la Republica de Colombia.
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"Administración de fondos de pensiones y multifondos en Colombia,"
BORRADORES DE ECONOMIA
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- Enrico De Giorgi, "undated". "A Note on Portfolio Selection under Various Risk Measures," IEW - Working Papers 122, Institute for Empirical Research in Economics - University of Zurich.
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Cited by:
- Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010.
"New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products,"
World Bank Publications,
The World Bank, number 2462, September.
- Manuel García-Huitrón & Gregorio Impavido & Esperanza Lasagabaster, 2010. "New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products," IDB Publications (Books), Inter-American Development Bank, number 60278, February.
- Alejandro Reveiz‐Herault, 2016. "An Active Asset Management Investment Process for Drawdown‐Averse Investors," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 85-96, January.
- Arjan Berkelaar & Roy Kouwenberg, 2010. "A liability-relative drawdown approach to pension asset liability management," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 194-217, June.
- García-Huitrón, Manuel & Impavido, Gregorio & Lasagabaster, Esperanza, 2018. "New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products," IDB Publications (Books), Inter-American Development Bank, number 365, March.
- Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications, The World Bank, number 2462, June.
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More about this item
Keywords
Portfolio Optimization; Asset Allocation; Downside Risk; Maximum Drawdown; mean-variance Criteria; Diversification.;
All these keywords.JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2008-06-27 (Risk Management)
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