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Evaluating style investment—Does a fund market defined along equity styles add value?

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  • Woo Chang Kim
  • John Mulvey

Abstract

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Suggested Citation

  • Woo Chang Kim & John Mulvey, 2009. "Evaluating style investment—Does a fund market defined along equity styles add value?," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 637-651.
  • Handle: RePEc:taf:quantf:v:9:y:2009:i:6:p:637-651
    DOI: 10.1080/14697680903190179
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    Cited by:

    1. Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
    2. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.
    3. Woo Kim & Jang Kim & So Ahn & Frank Fabozzi, 2013. "What do robust equity portfolio models really do?," Annals of Operations Research, Springer, vol. 205(1), pages 141-168, May.
    4. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
    5. Kim, Jang Ho & Han, Jiwoon & Kang, Taehyeon & Fabozzi, Frank J., 2023. "A machine learning approach for comparing the largest firm effect," Emerging Markets Review, Elsevier, vol. 54(C).

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