International Diversification with Factor Funds

International Diversification with Factor Funds

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor,...

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Bibliographic Details
Main Authors: Eun, Cheol S., Lai, Sandy, De Roon, Frans A., Zhang, Zhe
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
International diversification
Local factors
Factor funds
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2969
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3968/viewcontent/LaiSZhangZ2010mnsc_pub.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/2969
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3968/viewcontent/LaiSZhangZ2010mnsc_pub.pdf

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