Risk-Based and Factor Investing

Risk-Based and Factor Investing
Author: Emmanuel Jurczenko
Publisher: Elsevier
Total Pages: 488
Release: 2015-11-24
Genre: Business & Economics
ISBN: 0081008112

This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Factor-Based Portfolio Optimization

Factor-Based Portfolio Optimization
Author: Jun Kyung Auh
Publisher:
Total Pages: 0
Release: 2023
Genre:
ISBN:

We show that a parsimonious factor model can alleviate the problems of using raw historical data subject to large idiosyncratic noise in mean-variance portfolio optimization. Through the factor structure, we incorporate forward-looking information into the expected returns, exploiting a set of variables known to predict the aggregate factor from prior studies. Estimating parameters in a manner consistent with the theoretical assumption that the mean and variance correspond to future return distributions leads to better out-of-sample performance, accentuating the importance of feeding proper information.

Robust Portfolio Optimization and Management

Robust Portfolio Optimization and Management
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
Total Pages: 513
Release: 2007-04-27
Genre: Business & Economics
ISBN: 0470164891

Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Factor Investing

Factor Investing
Author: Emmanuel Jurczenko
Publisher: Elsevier
Total Pages: 482
Release: 2017-10-17
Genre: Business & Economics
ISBN: 0081019645

This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM

Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM
Author: Bernd Scherer
Publisher: Springer Science & Business Media
Total Pages: 422
Release: 2007-09-05
Genre: Business & Economics
ISBN: 038727586X

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.

Bond Portfolio Optimization

Bond Portfolio Optimization
Author: Michael Puhle
Publisher: Springer Science & Business Media
Total Pages: 143
Release: 2008-01-08
Genre: Business & Economics
ISBN: 354076593X

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Tail Behavior in Portfolio Optimization for Equity Style Factors

Tail Behavior in Portfolio Optimization for Equity Style Factors
Author: Maria Kartsakli
Publisher:
Total Pages: 21
Release: 2018
Genre:
ISBN:

Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves subject to extreme events or in other words on tail behavior. Firstly, we look at equity style factors and how they perform in the worst 10 scenarios of the market. Second, we regress ETF factor-based indices on these style factors and evaluate how much of the indices' performance can be explained. We then construct a hypothetical portfolio and suggest a portfolio optimization strategy which takes into consideration how its assets are behaving in bad times of the market economy. Our results indicate that style factors offer diversification benefits during distress periods. As a consequence, they comprise a useful source of information when we wish to optimize the asset allocation of our portfolio.

Factor Investing For Dummies

Factor Investing For Dummies
Author: James Maendel
Publisher: John Wiley & Sons
Total Pages: 311
Release: 2022-12-01
Genre: Business & Economics
ISBN: 1119906741

Systematically secure your financial future—Dummies makes it easy Factor Investing For Dummies helps you go beyond the investment basics, with proven techniques for making informed and sophisticated investment decisions. Using factor investing, you’ll select stocks based on some predetermined, well, factors. Momentum, value, interest rates, economic growth, credit risk, liquidity—all these things can help you identify killer stocks and improve your returns. This book explains it all, and helps you implement a strategic factor investing plan, so you can boost your portfolio’s performance, reduce volatility, and enhance diversification. You’ll also learn what not to do, with coverage of the factors that have failed to deliver consistent returns over time. We explore factor-based ETFS and loads of other ideas for injecting some factors into your investment game. Learn what factor investing is and how you can use it to level up your portfolio Understand the various types of factors and how to use them to select winning stocks Choose from a bunch of factor investing strategies, or build one of your own Generate wealth in a more sophisticated, more effective way This is the perfect Dummies guide for beginner to seasoned investors who want to explore more consistent outperformance potential. Factor Investing For Dummies can also help portfolio managers, consultants, academics, and students who want to understand more about the science of factor investing.

Asset Management

Asset Management
Author: Andrew Ang
Publisher: Oxford University Press, USA
Total Pages: 717
Release: 2014
Genre: Business & Economics
ISBN: 0199959323

Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.