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~subject:"investment horizon"
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investment horizon
Hurst exponent
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Biased Random Walk
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Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence
León, Carlos
;
Leiton, Karen
;
Reveiz, Alejandro
-
BANCO DE LA REPÚBLICA
-
2012
Fielitz (1980) seminal work on the application of
fractional
Brownian
motion
to CAPM, and on a revised technique for …
Persistent link: https://www.econbiz.de/10010763678
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