Factor attribution that adds up
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DOI: 10.1057/jam.2012.21
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References listed on IDEAS
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
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"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance,
American Finance Association, vol. 58(4), pages 1651-1684, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
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Cited by:
- Sanne De Boer & Vishv Jeet, 2016. "Aligning factor attribution with latent exposures," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 502-525, December.
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Keywords
quantitative investing; factor attribution; shrinkage estimators;All these keywords.
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