Optimal characteristic portfolios

DOI10.1080/14697688.2022.2094282zbMath1500.91127OpenAlexW4285992904MaRDI QIDQ5041666

Richard J. McGee, Jose Olmo

Publication date: 14 October 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2094282

zbMATH Keywords

size effectmomentumanomaliesvalue effectportfolio sorts

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Factor-based portfolio optimization

Cites Work

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