Karen Leiton

Central Bank of Colombia

Carrera 7 #14-78

Bogota

Colombia

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Scholarly Papers (1)

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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 (260,311)

Abstract:

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