International Diversification with Factor Funds
نویسندگان
چکیده
منابع مشابه
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, adequately describe international stock returns, and by the direct link between investors’ portf...
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ژورنال
عنوان ژورنال: Management Science
سال: 2010
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1100.1191