Are minimum variance portfolios in multi-factor models long in low-beta assets? (Q6594803)
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scientific article; zbMATH DE number 7903128
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| English | Are minimum variance portfolios in multi-factor models long in low-beta assets? |
scientific article; zbMATH DE number 7903128 |
Statements
Are minimum variance portfolios in multi-factor models long in low-beta assets? (English)
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28 August 2024
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asset pricing models
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factor models
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minimum-variance portfolio
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PCA
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portfolio optimization
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long-short strategies
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0.8135313391685486
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0.7688640356063843
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0.7369645237922668
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0.7202351093292236
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0.7185438275337219
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