Markowitz efficiency and size effect: evidence from the UK stock market
Citation
Hwang, T., Gao, S. S., & Owen, H. (2013). Markowitz efficiency and size effect: evidence from the UK stock market. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-013-0390-8
Authors
Keywords
Size effect; Efficient frontier; Minimum-variance portfolio;
Size reversal; G01; G11; G12;
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