Borradores de Economia
Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
Lo más reciente
Juan Esteban Carranza-Romero, Alejandra González-Ramírez, Mauricio Villamizar-Villegas
Hernán Rincón-Castro, Steven Zapata-Álvarez
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