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Making Covariance-Based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
December 2003 |
Dan diBartolomeo, Northfield Information Services Inc and Sandy Warrick, CFA, Northeastern University
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I came across this article in Eurekahedge's monthly newsletter which you may be interested in: http://www.eurekahedge.com/Research/News/1405/Making-Covariance-Based-Portfolio-Risk-Models-Sensitive-to-the-Rate-at-which-Markets-Reflect-New-Information
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