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Keywords: Equal risk contribution
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Journal Articles
The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio
International Journal of Managerial Finance (2022) 18 (4): 756–782.
Published: 04 July 2022
...Bayu Adi Nugroho Purpose This research aims to select the best-fitting model(s) of equal risk contribution portfolios (ERC). ERC is a robust estimation in the absence of reasonable expectations about future returns. Design/methodology/approach The portfolio consists of five environmental...
