RT Journal Article
SR Electronic
T1 From Risk Premia to Smart Betas: <em>A Unified Framework</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 44
OP 54
DO 10.3905/jpm.2017.44.1.044
VO 44
IS 1
A1 Alexandre S. Da Silva
A1 Wai Lee
YR 2017
UL https://pm-research.com/content/44/1/44.abstract
AB In this article, the authors provide a flexible and adaptive framework that allows one to construct a suite of long-only smart beta portfolios over a spectrum of risk characteristics, subject to different constraints, while preserving as much of the information in the original risk premia as possible. In their opinion, smart beta portfolios constructed according to the proposed framework represent theoretically efficient implementations of risk premia for investors who face constraints on short-selling or other restrictions on portfolio construction.TOPICS: Analysis of individual factors/risk premia, risk management, portfolio construction