Portfolio selection in factor investing
This thesis empirically examines the role of advanced portfolio selection methods in factor investing. These methods provide more efficient exposure to underlying risk sources in factor portfolios. Their performance is evaluated across number of prominent factors and compared with more naive equal-...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2017
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| Online Access: | http://www.nusl.cz/ntk/nusl-367839 |