Practical Applications of Accounting for Cross-Factor Interactions in Multi-Factor Portfolios without Sacrificing Diversification and Risk Control

Amenc, Noël; Ducoulombier, Frédéric; Esakia, Mikheil; Goltz, Felix; Sivasubramanian, Sivagaminathan

doi:10.3905/pa.5.3.249

2017

DOI: 10.3905/pa.5.3.249

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Practical Applications of Accounting for Cross-Factor Interactions in Multi-Factor Portfolios without Sacrificing Diversification and Risk Control

Noël Amenc¹,

Frédéric Ducoulombier²,

Mikheil Esakia³

et al.

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Practical Applications of Accounting for Cross-Factor Interactions in Multi-Factor Portfolios without Sacrificing Diversification and Risk Control

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