This is a nice paper by the folks at Barra, although I am not so sure why this doesn’t fall in the portable alpha camp…
Portfolio of Risk Premia: a new approach to diversification by Briand, Nielsen, and Stefek
This is a nice paper by the folks at Barra, although I am not so sure why this doesn’t fall in the portable alpha camp…
Portfolio of Risk Premia: a new approach to diversification by Briand, Nielsen, and Stefek