Factor-Based Optimization of a Fundamentally-Weighted Portfolio in the Illiquid and Undeveloped Stock Market
In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a portfolio toward specific and unobservable risk factors in the illiquid and undeveloped Croatian stock market is explored. Thus far, fundamental-weighting has been shown to be able to outperform the cap-w...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/12/302 |