Rinald Murataj

T Rowe Price

United States

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The Low-volatility Anomaly and the Adaptive Multi-Factor Model

Cornell Legal Studies Research Paper No. 21-21
Number of pages: 40 Posted: 04 May 2021 Last Revised: 03 Nov 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, T Rowe Price, Cornell University - Law School and Cornell University - Department of Statistics and Data Science
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Citation 2

Abstract:

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Low-volatility anomaly, AMF model, GIBS algorithm, high-dimensional statistics, machine learning, False Discovery Rate.