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New smart beta index using the Rachev ratio under a non-normal return distribution

Rei Yamamoto & Naoya Kawadai

International Journal of Portfolio Analysis and Management2021https://doi.org/10.1504/ijpam.2021.115632article
ABDC B
Weight
0.26

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https://doi.org/https://doi.org/10.1504/ijpam.2021.115632

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@article{rei2021,
  title        = {{New smart beta index using the Rachev ratio under a non-normal return distribution}},
  author       = {Rei Yamamoto & Naoya Kawadai},
  journal      = {International Journal of Portfolio Analysis and Management},
  year         = {2021},
  doi          = {https://doi.org/https://doi.org/10.1504/ijpam.2021.115632},
}

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New smart beta index using the Rachev ratio under a non-normal return distribution

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.