A factor-based risk model for multifactor investment strategies
Year of publication: |
2022
|
---|---|
Authors: | Abergel, Frédéric ; Bellone, Benoit ; Soupé, François |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 24.2022, 4, p. 1-22
|
Subject: | risk model | factor investing | multifactor strategies | cross-sectional regression | port-folio construction | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | CAPM | Faktorenanalyse | Factor analysis |
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