Foglia, Matteo; Recchioni, Maria Cristina; Polinesi, Gloria - In: Risks : open access journal 9 (2021) 2/34, pp. 1-25
Smart beta strategies across economic regimes seek to address inefficiencies created by market-based indices, thereby enhancing portfolio returns above traditional benchmarks. Our goal is to develop a strategy for re-hedging smart beta portfolios that shows the connection between multi-factor...
