Factor tracking : a new smart beta strategy that outperforms naïve diversification
Chonghui Jiang, Jiangze Du, Yunbi An, Jinqing Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Jiang, Chonghui ; Du, Jiangze ; An, Yunbi ; Zhang, Jinqing |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 96.2021, p. 396-408
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| Subject: | Factor tracking portfolio | Minimum-variance portfolio | Multi-factor asset pricing model | Naïve diversification | Portfolio-Management | Portfolio selection | CAPM | Kapitaleinkommen | Capital income | Diversifikation | Diversification | Anlageverhalten | Behavioural finance | Betafaktor | Beta risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.03.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012745446