TY - JOUR T1 - Robust Factor-Based Investing JF - The Journal of Portfolio Management SP - 157 LP - 164 DO - 10.3905/jpm.2017.43.5.157 VL - 43 IS - 5 AU - Jang Ho Kim AU - Woo Chang Kim AU - Frank J. Fabozzi Y1 - 2017/03/31 UR - https://pm-research.com/content/43/5/157.abstract N2 - 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 ER -