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spelling oai:RI-BanRep:20.500.12134-55372019-04-16T16:16:31Z Efficient portfolio optimization in the wealth creation and maximum drawdown space Reveiz-Herault, Alejandro León-Rincón, Carlos Eduardo G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors D81 - Criteria for Decision-Making under Risk and Uncertainty G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G11 - Portfolio Choice; Investment Decisions Portfolio optimization Asset allocation Downside risk Maximum drawdown Mean-variance Criteria Diversification Portafolio de inversiones Pensiones anuales G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio D81 - Criterios para la toma de decisiones con riesgo e incertidumbre G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales G11 - Selección de cartera; Decisiones de inversión 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 2008-06-20 2008-06-20 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/5537 http://hdl.handle.net/20.500.12134/5537 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 520 https://ideas.repec.org/p/bdr/borrec/520.html https://ideas.repec.org/p/col/000094/004732.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 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 G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
D81 - Criteria for Decision-Making under Risk and Uncertainty
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G11 - Portfolio Choice; Investment Decisions
Portfolio optimization
Asset allocation
Downside risk
Maximum drawdown
Mean-variance Criteria
Diversification
Portafolio de inversiones
Pensiones anuales
G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
D81 - Criterios para la toma de decisiones con riesgo e incertidumbre
G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales
G11 - Selección de cartera; Decisiones de inversión
spellingShingle G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
D81 - Criteria for Decision-Making under Risk and Uncertainty
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G11 - Portfolio Choice; Investment Decisions
Portfolio optimization
Asset allocation
Downside risk
Maximum drawdown
Mean-variance Criteria
Diversification
Portafolio de inversiones
Pensiones anuales
G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
D81 - Criterios para la toma de decisiones con riesgo e incertidumbre
G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales
G11 - Selección de cartera; Decisiones de inversión
Reveiz-Herault, Alejandro
León-Rincón, Carlos Eduardo
Efficient portfolio optimization in the wealth creation and maximum drawdown space
description 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
format Documento de trabajo (Working Paper)
author Reveiz-Herault, Alejandro
León-Rincón, Carlos Eduardo
author_facet Reveiz-Herault, Alejandro
León-Rincón, Carlos Eduardo
author_sort Reveiz-Herault, Alejandro
title Efficient portfolio optimization in the wealth creation and maximum drawdown space
title_short Efficient portfolio optimization in the wealth creation and maximum drawdown space
title_full Efficient portfolio optimization in the wealth creation and maximum drawdown space
title_fullStr Efficient portfolio optimization in the wealth creation and maximum drawdown space
title_full_unstemmed Efficient portfolio optimization in the wealth creation and maximum drawdown space
title_sort efficient portfolio optimization in the wealth creation and maximum drawdown space
publisher Banco de la República
publishDate 2008
url http://repositorio.banrep.gov.co/handle/20.500.12134/5537
_version_ 1637300543476989952
score 10,844952