Penalizing variances for higher dependency on factprs

Quantitative Finance, March 2017

Author(s):

Jang Ho Kim

Kyung Hee University

Woo Chang Kim

Korea Advanced Institute of Science and Technology

Frank J. Fabozzi, PhD

EDHEC Business School

Quantitative Finance, March 2017

Type: Academic publication
Date: le 03/03/2017
Research Cluster : Finance
Source : Quantitative Finance

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