Improved portfolio selection using market expectations through penalization

The portfolio selection problem can be viewed as an optimization problem that maximizes a risk-return rela-tion. It has of course, an objective function, decision variables and input parameters: expected returns and covariance between them. These parameters' real values are not achievable for u...

Full description

Autores:
Segura Acosta, Diego Hernán
Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/34699
Acceso en línea:
http://hdl.handle.net/1992/34699
Palabra clave:
Administración del portafolio - Modelos matemáticos
Ingeniería
Rights
openAccess
License
https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf