Pierre Grison

Lyxor Asset Management

Paris

France

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Scholarly Papers (1)

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The Smart Beta Indexing Puzzle

Posted: 22 May 2019
ZĂ©lia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management

Abstract:

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Smart beta, risk-based indexing, minimum variance portfolio, risk parity, equally weighted portfolio, equal risk contribution portfolio, diversification, low beta anomaly, low volatility anomaly, tracking error, liquidity