What difference do new factor models make in portfolio allocation?
Year of publication: |
2024
|
---|---|
Authors: | Fabozzi, Frank J. ; Huang, Dashan ; Jiang, Fuwei ; Wang, Jiexun |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 0261-5606, ZDB-ID 1500496-X. - Vol. 140.2024, Art.-No. 102997, p. 1-20
|
Subject: | Asset pricing | Factor model | Mean-variance analysis | Portfolio allocation | Theorie | Theory | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | CAPM |
-
A novel integration of the Fama-French and Black-Litterman models to enhance portfolio management
Ko, Hyungjin, (2024)
-
Which factor model? : a systematic return covariation perspective
Ahmed, Shamim, (2023)
-
A regime-switching factor model for mean-variance optimization
Costa, Giorgio, (2020)
- More ...
-
What Difference Do New Factor Models Make in Portfolio Allocation?
Fabozzi, Frank J., (2016)
-
Investor sentiment aligned : a powerful predictor of stock returns
Huang, Dashan, (2015)
-
Are bond returns predictable with real-time macro data?
Huang, Dashan, (2023)
- More ...