Replicating USMV and SPLV with a Public-data Factor Risk ModelSpecification Ambiguity Dominates the Choice of Covariance Estimator
Rebuilding low-volatility indices from public data shows that a rank-based method replicates closely but an optimization-based method fails due to index-specification ambiguity, not covariance estimation.
Featured in No. 137 on 30 Oct 2026 · 2 days after release
- Released
- 28 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7664321
- Authors
- Soham Parundekar
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).