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. # does factor investing improve investor welfare?
involves a loss of efficiency compared with a single-step optimization procedure. lionel martellini and vincent milhau show that this welfare loss is zero if, and only if, the benchmarks completely explain the cross section of expected returns of the securities. this theoretical proposition justifies factor...
https://www.edhec.edu/en/news/edhec-risk-excellence-investment-management-research-10-must-read-academic-papers