Lisa Goldberg

Independent

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Scholarly Papers (1)

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Restoring Value to Minimum Variance

Journal of Investment Management (JOIM), Second Quarter 2014
Posted: 06 Mar 2015
Lisa Goldberg, Ran Leshem and Patrick Geddes
Independent, Aperio Group and Aperio Group

Abstract:

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Minimum variance strategy, low-beta stocks, low-risk anomaly, value tilt, momentum tilt, factor model, style factors