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A risk-budgeting framework for the combination of factor equity portfolios
This dissertation examines a risk-budgeting approach to the construction of factor equity portfolios, proposed by de Carvalho et al. (2014). The approach begins with the construction of active-weighted portfolios with exposure to factors that historically have been linked to excess returns in the ma...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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