Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacri

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收藏 2017-03-29

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【作者(必填)】Noël Amenc, Frédéric Ducoulombier, Mikheil Esakia, Felix Goltz, and Sivagaminathan Sivasubramanian

【文题(必填)】Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control

【年份(必填)】

Special Issue 2017, Vol. 43, No. 5: pp. 99-114

【全文链接或数据库名称(选填)】http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.5.099