A correlation-based portfolio choice algorithm
Year of publication: |
2024
|
---|---|
Authors: | Ross, Jonathan ; Madsen, Joshua ; Alexander, Gordon J. |
Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 1583-1600
|
Subject: | Low-cross sectional correlation | Portfolio choice | Diversification | Return co-movement | Low-variabilty anomaly | Betting against beta | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | CAPM | Aktienmarkt | Stock market | Korrelation | Correlation | Theorie | Theory | Risikopräferenz | Risk attitude | Schätzung | Estimation | Diversifikation | Rentenmarkt | Bond market |
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