fBetas and Portfolio Optimization with f-Divergence Risk Measures
The paper presents a new f-Beta for portfolio optimization, comparing its performance with Standard Beta and Drawdown Betas using selected stocks against the S&P 500 market index.
Featured in No. 20 on 12 Oct 2023 · on release day
- Released
- 12 Oct 2023
- First featured
- No. 20 · 12 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 18
- Identifier
- RePEc:taf:quantf:v:23:y:2023:i:10:p:1483-1496
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