Factor investing: alpha concentration versus diversification
“The corresponding out-of-sample results show that including an efficient covariance estimator improves the performance of long-only multifactor portfolios compared to the pure alpha concentration approach.”
AssetEquities
StrategyFactor investinglow-volatility anomaly
ClaimAlpha
Long/shortLong-shortlong-only
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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