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Keywords: Alternative risk premia
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (2): 74–88.
Published: 10 March 2022
... opportunities. The success of the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is validated retrospectively to frame the basis as an additional class of alternative risk premia (ARP), which investors can seek to optimise exposure to in a long-only...
