Alejandro Reveiz

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

2

DOWNLOADS

145

CITATIONS

0

Scholarly Papers (2)

Portfolio Optimization and Long-Term Dependence

ODEON No. 6, 2011
Number of pages: 43 Posted: 16 Feb 2013
Carlos León and Alejandro Reveiz
Banco de la República (Central Bank of Colombia) and World Bank
Downloads 73 (261,015)

Abstract:

portfolio optimization, Hurst exponent, long-term dependence, biased random walk, rescaled range analysis

2.

Investment Horizon Dependent CAPM: Adjusting Beta for Long-Term Dependence

Number of pages: 25 Posted: 24 Nov 2012
Carlos León, Karen Leiton and Alejandro Reveiz
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and World Bank
Downloads 60 (260,493)

Abstract:

CAPM, Hurst exponent, long-term dependence, fractional Brownian motion, asset allocation, investment horizon