RT Journal Article SR Electronic T1 Factors to Assets: Mapping Factor Exposures to Asset Allocations JF The Journal of Portfolio Management FD Institutional Investor Journals SP 18 OP 27 DO 10.3905/jpm.2016.42.5.018 VO 42 IS 5 A1 David Greenberg A1 Abhilash Babu A1 Andrew Ang YR 2016 UL https://pm-research.com/content/42/5/18.abstract AB The authors develop a methodology that maps a given set of factor exposures to a group of asset classes. When there are fewer factors than asset classes, which is the case in most practical situations, the mapping is not unique. The authors show how one can express a given set of factor exposures as a particular combination of assets subject to real-world investor preferences and constraints: leverage, minimum and maximum asset class positions, illiquid versus liquid proportions, active risk, turnover, and other constraints. Formally, the authors find the set of asset classes that has the minimum distance in terms of factor exposures from the desired set, subject to these constraints.TOPICS: Analysis of individual factors/risk premia, options, other real assets