Equity Portfolio Optimization With Factor Tilts [View article]
Great article, except as far I can tell from reading this, you can't replicate those results from the ETFs but only by rebalancing the underlying stocks. Wasn't very clear initially.
In Search Of An Efficient ETF Portfolio [View article]
Hi Maurice -
Interesting approach. If one asset is negatively correlated with at least one other asset, how do we know that the final portfolio is reasonably diverse?
Equity Portfolio Optimization With Factor Tilts [View article]
In Search Of An Efficient ETF Portfolio [View article]
Interesting approach. If one asset is negatively correlated with at least one other asset, how do we know that the final portfolio is reasonably diverse?