This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return tradeoff.
Professor of finance and director of EDHEC-Risk Institute.
Head of applied research at EDHEC-Risk Institute.
Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.
Senior research engineer with EDHEC-Risk Institute,
|Type :||Publication EDHEC|
|Date :||le 04/01/2010|
|Pôle de recherche||Finance|