Borradores de Economia
Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
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Jaime Alfredo Bonet-Moron, Yuri Carolina Reina-Aranza, Adriana Ortega, Ana Rosa Polanco
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