Portfolio Optimization and Long-Term Dependence
Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite the fact than financial literature provides evidence of long-term memory existence, serial-independence assumption prevails. This document’s long-term dependence assessment...
- Autores:
-
León, Carlos
Reveiz, Alejandro
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2011
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- eng
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7401
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7401
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3329
- Palabra clave:
- Portfolio optimization
Hurst exponent
long-term dependence
biased random walk
rescaled range analysis
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2