Page, Daniel; McClelland, David E.; Auret, C. - In: Cogent economics & finance 11 (2023) 2, pp. 1-15
Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the application of optimisation to maintain target factor loading...