Risk optimizations on basis portfolios : the role of sorting
Boris Fays, Nicolas Papageorgiou, Marie Lambert
| Year of publication: |
2021
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|---|---|
| Authors: | Fays, Boris ; Papageorgiou, Nicolas A. ; Lambert, Marie |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 63.2021, p. 136-163
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| Subject: | Bootstrap | Mean-variance efficiency | Portfolio sorting | Risk-based optimization | Smart beta | Style investing | Portfolio-Management | Portfolio selection | Theorie | Theory | CAPM | Betafaktor | Beta risk | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2021.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013258989