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Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis
This study investigates a new asset allocation technique termed Factor Adjusted Rolling Economic Drawdown (FAREDD), whereby resources are allocated to different assets by way of integrating Principle Component Analysis (PCA) with existing Rolling Economic Drawdown Methods (REDD). The primary purpose...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2019
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