Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression
“In illustration of this methodology we use the eleven sector-based portfolios, sector exchange traded funds (ETFs), from the S&P500 which are termed in this work sector indices.”
AssetEquitiesETFs
StrategyPortfolio optimization
FrequencyMonthly
Long/shortLong-short
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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