Granularity Adjustment for Efficient Portfolios

Econometric Reviews

Volumn 32, Issue 4, 2013, Pages 449-468

  Gourieroux, C ^a   Monfort, A ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b MAASTRICHT UNIVERSITY   (Netherlands)

Author keywords

Concentration risk; Factor model; Granularity adjustment; Idiosyncratic risk; Naive diversification; Sharpe performance; Systematic risk

Indexed keywords

EID: 84873112825     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2012.690667     Document Type: Article

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