Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control

The Journal of Portfolio Management, Vol. 43 N° 5 pp. 99 - 114, Special QES Issue 2017

Author(s):

Noël Amenc, PhD

CEO ERI Scientific Beta

Frédéric Ducoulombier

ERI Scientific Beta

Mikheil Esakia

ERI Scientific Beta

Felix Goltz, PhD

ERI Scientific Beta

Sivagaminathan Sivasubramanian

ERI Scientific Beta

The Journal of Portfolio Management, Vol. 43 N° 5 pp. 99 - 114, Special QES Issue 2017

Type: Academic publication
Date: le 15/03/2017
Research Cluster : Finance
Source : The Journal of Portfolio Management

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