Journal of Investment Management

Journal of Investment Management

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-1 * -2 Figure 2 A tree for a single factor Fj, normalized. tree in each factor as the cumulative normalized factor deviations in the factor. This would result in the factor starting at value Fj(0, 0) = 0 and then moving up +1 or down a€”1 each period.

Title:Journal of Investment Management
Publisher: - 2009


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