Borradores de Economia
Número:
511
Publicado:
Clasificación JEL:
G11, G14, G32
Palabras clave:
Active Management, Portfolio optimization, Genetic Algorithms, Propensities.
Lo más reciente
Jhorland Ayala-García, Jaime Alfredo Bonet-Moron, Eduardo A. Haddad, Inácio F. Araújo
Remesas, crecimiento y convergencia económica regional: evidencia para los departamentos de Colombia
Clark Granger, Jhorland Ayala-García, Fabio Montenegro Aparicio
Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia
We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p