Work

Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc Step

Year: 2020

Type: article

Source: The Journal of Portfolio Management

DOI: 10.3905/jpm.2020.1.127

Authors: Roger Aliaga-Diaz, Giulio Renzi-Ricci, Ankul Daga, Harshdeep Ahluwalia

Institution: Vanguard (United States)

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3000249734

FWCI: 1.354

Cites: 28

Cited by: 11

Related to: 10