Bridge over ocean
1 December 2002 Research Foundation

Anomalies and Efficient Portfolio Formation

  1. S.P. Kothari, PhD, MBA
  2. Jay Shanken
Anomalies and Efficient Portfolio Formation View the full book (PDF)

Financial economists have uncovered a wide variety of apparent market anomalies, but they have usually stopped short of describing how to incorporate these anomalies in efficient and practical investment portfolios. The authors of this monograph show how to tilt portfolios away from market indexes to capture the historical alpha and residual risk associated with one or more anomalies.

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