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.
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.