Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
Lo más reciente
Jaime Alfredo Bonet-Moron, Jhorland Ayala-García
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