Portfolio Optimization and Long-Term Dependence

Número: 
622
Publicado: 
Clasificación JEL: 
G11, G32, G20, C14
Palabras clave: 
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document