Improved Risk Reporting with Factor-Based Diversification Measures

Improved Risk Reporting with Factor-Based Diversification Measures — February 2014

1. Introduction

factor-based measures. We conduct an empirical analysis of these measures for international equity index indices in Section 3, and consider an application to pension fund policy portfolios in Section 4. Section 5 concludes. Technical details are relegated to a dedicated Appendix.

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An EDHEC-Risk Institute Publication