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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| 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 |