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Optimal Asset Allocation with Factor Models for Large Portfolios

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http://www.dspace.cam.ac.uk/handle/1810/229447
 https://www.repository.cam.ac.uk/handle/1810/229447

Repository DOI

https://doi.org/10.17863/CAM.5628
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0813.pdf (251.51 KB)

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Working Paper

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Keywords

asset allocation, large portfolios, factor models, diversification

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Publisher DOI

https://doi.org/10.17863/CAM.5628

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All Rights Reserved

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Cambridge Working Papers in Economics (CWPE)