Reveiz-Herault, Alejandro

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  • The Factor-Portfolios Approach to Asset Management using Genetic Algorithms

    Publicación |

    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 portfolios, allowing for tracking error…

  • Operational Risk Management using a Fuzzy Logic Inference System

    Publicación |

    Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches.  Engineering has faced the same challenges when designing practical…

  • Portfolio Optimization and Long-Term Dependence

    Publicación |

    Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term´s memory existence, serial-independence assumption prevails.   This document´s long-term dependence…