Número:
730
Publicado:
Clasificación JEL:
G12, G14, G32, G20, C14
Palabras clave:
CAPM, Hurst exponent, long-term dependence, Fractional Brownian Motion
Lo más reciente
José Vicente Romero-Chamorro, Sara Naranjo-Saldarriaga, Jonathan Muñoz-Martínez
Felipe Roldán-Ferrín, Julián Andrés Parra-Polanía
Nicol Valeria Rodríguez-Rodríguez, Hernán Dario Perdomo-Sánchez
Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to t