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Fuzzy Factors and Asset Allocation

Alexander Rudin and Daniel Farley
The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.214; DOI: https://doi.org/10.3905/jpm.2021.1.214
Alexander Rudin
is managing director of Investment Solutions at State Street Global Advisors in Boston, MA
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Daniel Farley
is chief investment officer of Investment Solutions at State Street Global Advisors in Boston, MA
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The Journal of Portfolio Management: 49 (4)
The Journal of Portfolio Management
Vol. 49, Issue 4
Multi-Asset Special Issue 2023
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Fuzzy Factors and Asset Allocation
Alexander Rudin, Daniel Farley
The Journal of Portfolio Management Feb 2021, jpm.2021.1.214; DOI: 10.3905/jpm.2021.1.214

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Fuzzy Factors and Asset Allocation
Alexander Rudin, Daniel Farley
The Journal of Portfolio Management Feb 2021, jpm.2021.1.214; DOI: 10.3905/jpm.2021.1.214
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  • Article
    • Abstract
    • ASSET ALLOCATION AND ESTIMATION UNCERTAINTY
    • FACTOR VERSUS ASSET ALLOCATION
    • FACTOR-AWARE ASSET ALLOCATION IS A FUZZY BUSINESS
    • FUZZY MATHEMATICS
    • FUZZY FACTOR CONSTRAINTS IN PORTFOLIO OPTIMIZATION
    • PRACTICAL APPLICATIONS
    • CONCLUDING REMARKS
    • REFERENCES
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