EDHEC-Risk Institute October 2016

Multi-Dimensional Risk and Performance Analysis for Equity Portfolios — October 2016

References

•  Van Dijk, M. A. 2011. Is Size Dead? A Review of the Size Effect in Equity Returns. Journal of Banking and Finance 35(12): 3263-3274. • Wang, J. and J. Menchero. 2014. Identifying the Drivers of Predicted Beta. MSCI Research Insight: Research Insight Identifying the Drivers of Predicted Beta (February).

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An EDHEC-Risk Institute Publication