Aligning factor attribution with latent exposures
Year of publication: |
December 2016
|
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Authors: | Boer, Sanne de ; Jeet, Vishv |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 17.2016, 7, p. 502-525
|
Subject: | factor alignment problems | factor attribution | constraint attribution | restricted least squares | portfolio optimization | custom risk models | Portfolio-Management | Portfolio selection | Theorie | Theory | Konsumentenverhalten | Consumer behaviour |
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