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Keywords: Drawdown
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Journal Articles
The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio
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International Journal of Managerial Finance (2022) 18 (4): 756–782.
Published: 04 July 2022
... model(s), the paper applies statistical inferences of the model confidence set. This research also constructs the newly-developed minimum connectedness optimization method and utilizes maximum drawdown as the primary evaluation tool. Findings The outbreak of COVID-19 hugely impacts the portfolio...
