Are minimum variance portfolios in multi-factor models long in low-beta assets?
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DOI: 10.1007/s11579-024-00366-y
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More about this item
Keywords
Asset pricing models; Factor models; Minimum-variance portfolio; PCA; Portfolio optimization; Long-short strategies;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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