Exploiting Low-Risk Anomaly in the Black-Litterman Framework: Evidence from South Korea


There is a low-risk anomaly in the stock markets around the world for a long time. The Korean financial market is also experiencing low-risk anomalies, and even portfolios of high-risk stocks have lost close to 70% between... [ view full abstract ]


  1. SUJIN PYO (Seoul National University)
  2. Jaewook Lee (Seoul National University)

Topic Areas

Asset Allocation , Machine Learning , Portfolio Theory


PS » Poster Presentations (11:00 - Monday, 16th July)

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