The factor-portfolios approach to asset management using genetic algorithms

We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p

Detalles Bibliográficos
Autor Principal: Reveiz-Herault, Alejandro
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2008
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5528
id oai:RI-BanRep:20.500.12134-5528
recordtype dspace
spelling oai:RI-BanRep:20.500.12134-55282019-04-16T16:16:19Z The factor-portfolios approach to asset management using genetic algorithms Reveiz-Herault, Alejandro G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G14 - Information and Market Efficiency; Event Studies; Insider Trading G11 - Portfolio Choice; Investment Decisions Active management Portfolio optimization Genetic algorithms Propensities Inversiones Portafolio de inversiones Riesgo (Economía) Algoritmos genéticos G11 - Selección de cartera; Decisiones de inversión G14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p 2008-04-19 2008-04-19 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/5528 http://hdl.handle.net/20.500.12134/5528 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 511 https://ideas.repec.org/p/bdr/borrec/511.html https://ideas.repec.org/p/col/000094/004626.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Español (Spanish)
topic G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
Active management
Portfolio optimization
Genetic algorithms
Propensities
Inversiones
Portafolio de inversiones
Riesgo (Economía)
Algoritmos genéticos
G11 - Selección de cartera; Decisiones de inversión
G14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada
G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
spellingShingle G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
Active management
Portfolio optimization
Genetic algorithms
Propensities
Inversiones
Portafolio de inversiones
Riesgo (Economía)
Algoritmos genéticos
G11 - Selección de cartera; Decisiones de inversión
G14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada
G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
Reveiz-Herault, Alejandro
The factor-portfolios approach to asset management using genetic algorithms
description We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these p
format Documento de trabajo (Working Paper)
author Reveiz-Herault, Alejandro
author_facet Reveiz-Herault, Alejandro
author_sort Reveiz-Herault, Alejandro
title The factor-portfolios approach to asset management using genetic algorithms
title_short The factor-portfolios approach to asset management using genetic algorithms
title_full The factor-portfolios approach to asset management using genetic algorithms
title_fullStr The factor-portfolios approach to asset management using genetic algorithms
title_full_unstemmed The factor-portfolios approach to asset management using genetic algorithms
title_sort factor-portfolios approach to asset management using genetic algorithms
publisher Banco de la República
publishDate 2008
url http://repositorio.banrep.gov.co/handle/20.500.12134/5528
_version_ 1637301480939585536
score 10,654118