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: | Daniel Page, David McClelland, Christo Auret |
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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 |
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