HIGHLIGHTS
- What: This part of the analysis focused on observing asset weight changes over time within an investment portfolio. Through using the model, it can get the following results: This section evaluated how well the Fama-French three-factor model explains the returns of the portfolio, focusing on the impact of market risk premium, size premium, and value premium.
- Who: Carlo and colleagues from the Shanghai University of Finance and Economics, Shanghai, China have published the research: Investment Portfolio with Convex Optimization and Risk Adjustment Using Multi-Factor Model and Multi-Armed Bandit Algorithm, in the . . .
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