Heinrich, Lars; Shivarova, Antoniya; Zurek, Martin - In: Journal of Asset Management 22 (2021) 6, pp. 464-487
Despite extensive research support, the role of diversification in current factor investing strategies remains …, but should also include portfolio diversification effects. While the alpha concentration approach mainly considers factor … account for portfolio diversification. The corresponding out-of-sample results show that including an efficient covariance …