Granularity Adjustment for Efficient Portfolios

DOI10.1080/07474938.2012.690667zbMath1491.62158OpenAlexW2022677141MaRDI QIDQ5080553

Christian Gouriéroux, Alain Monfort

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2012.690667

zbMATH Keywords

factor modelsystematic riskidiosyncratic riskconcentration risknaive diversificationgranularity adjustmentsharpe performance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Granularity adjustment for risk measures: systematic vs unsystematic risks
• Concentration Risk in Credit Portfolios
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Unnamed Item

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