Pure quantile portfolios on the Johannesburg stock exchange
AbstractRules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the application of optimisation to maintain target factor loadin...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-06-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2023.2231662 |