Goldberg, Lisa R.; Hayes, Michael Y.; Mahmoud, Ola - In: Quantitative Finance 13 (2013) 10, pp. 1533-1545
This paper describes an empirical study of shortfall optimization using Barra fundamental factors. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall...
