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    • Constructing common-factor portfolios 

      Carrasco-Gutierrez, Carlos Enrique; Issler, João Victor (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-19)
      In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...