Borradores de Economia
Número:
511
Publicado:
Clasificación JEL:
G11, G14, G32
Palabras clave:
Active Management, Portfolio optimization, Genetic Algorithms, Propensities.
Lo más reciente
Martha Rosalba López-Piñeros, Eduardo Sarmiento Gómez
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Juan Camilo Medellín-Martínez, Juan Camilo Medellín-Martínez
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