Borradores de Economia
Número:
730
Publicado:
Clasificación JEL:
G12, G14, G32, G20, C14
Palabras clave:
CAPM, Hurst exponent, long-term dependence, Fractional Brownian Motion
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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