most citedThe Low-volatility Anomaly and the Adaptive Multi-Factor Model

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q-fin.ST2020★ 1 cited

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

Robert A. Jarrow, Rinald Murataj, Martin T. Wells +1

The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) alg…