Cheung, Wing - In: Quantitative Finance 13 (2013) 2, pp. 301-316
The Fama and French factor-ranking approach (1992, 1993, etc.) has been extensively applied in quantitative fund management. However, this approach suffers from hidden factor view, information inefficiency, etc. issues. Based on the Black--Litterman model (1992; as explained in Cheung 2010b), we...