Efficient portfolio optimization in the wealth creation and maximum drawdown space
First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of
| Autores Principales: | , |
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| Formato: | Documento de trabajo (Working Paper) |
| Lenguaje: | Español (Spanish) |
| Publicado: |
Banco de la República
2008
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| Materias: | |
| Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5537 |
| Sumario: | First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of |
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