Penalizing variances for higher dependency on factprs

Quantitative Finance, March 2017


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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