Thomaidis, Nikos S.; Roumpis, Efthimios; Kondakis, Nick - In: International Journal of Financial Markets and Derivatives 1 (2010) 4, pp. 352-370
We present a framework for designing optimal allocation strategies for large stock portfolios using dynamic factor models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and French (FF) factor model with a special focus on the time...