Abstract
In this article, the authors provide a flexible and adaptive framework that allows one to construct a suite of long-only smart beta portfolios over a spectrum of risk characteristics, subject to different constraints, while preserving as much of the information in the original risk premia as possible. In their opinion, smart beta portfolios constructed according to the proposed framework represent theoretically efficient implementations of risk premia for investors who face constraints on short-selling or other restrictions on portfolio construction.
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