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Are minimum variance portfolios in multi-factor models long in low-beta assets?

Crossref DOI link: https://doi.org/10.1007/s11579-024-00366-y

Published Online: 2024-06-29

Published Print: 2024-03

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Steland, Ansgar https://orcid.org/0000-0001-9395-7458
Funding

Funding for this research was provided by:

RWTH Aachen University
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Text and Data Mining valid from 2024-03-01

Version of Record valid from 2024-06-29
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Article History

Received: 23 October 2023

Accepted: 11 April 2024

First Online: 29 June 2024