Diversification and the Optimal Construction of Basis Portfolios
收藏NBER2003-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9461
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资源简介：
Nontrivial diversification possibilities arise when a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors underlying
提供机构：
美国国家经济研究局
创建时间：
2003-01-01
