Improved Risk Reporting with Factor-Based Diversification Measures

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

References

• Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341–360. •  Schönemann, P. H. (1966). A generalised solution of the orthogonal procrustes problem. Psychometrika 31(1), 1–10.

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An EDHEC-Risk Institute Publication