PT - JOURNAL ARTICLE AU - Jang Ho Kim AU - Woo Chang Kim AU - Frank J. Fabozzi TI - Robust Factor-Based Investing AID - 10.3905/jpm.2017.43.5.157 DP - 2017 Mar 31 TA - The Journal of Portfolio Management PG - 157--164 VI - 43 IP - 5 4099 - https://pm-research.com/content/43/5/157.short 4100 - https://pm-research.com/content/43/5/157.full AB - In quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies.TOPICS: Statistical methods, analysis of individual factors/risk premia, portfolio theory