Clash of the titans: Factor portfolios versus alternative weighting schemes
J Bender, T Blackburn, X Sun - The Journal of Portfolio …, 2019 - jpm.pm-research.com
In this article, the authors (re) introduce mean–variance portfolio construction for factor
portfolios. These models, first popular with quants in the 1990s, are being resurrected today …
portfolios. These models, first popular with quants in the 1990s, are being resurrected today …
Exploring new frontiers in indexing strategies: an optimization-based risk-efficient solution
R Monga, D Aggrawal, J Singh - International Journal of System …, 2022 - Springer
This paper examines various risk-efficient solutions that enable investors to optimize their
risk-return profile in comparison to the traditional market-capitalization index. Investment …
risk-return profile in comparison to the traditional market-capitalization index. Investment …
[BOOK][B] Engineering investment process: making value creation repeatable
F Ielpo, C Merhy, G Simon - 2017 - books.google.com
Engineering Investment Process: Making Value Creation Repeatable explores the
quantitative steps of a financial investment process. The authors study how these steps are …
quantitative steps of a financial investment process. The authors study how these steps are …
The Devil Is in the Details: The Risks Often Ignored in Low-Volatility Investing
N Alonso, O Nusinzon - The Journal of Portfolio Management, 2020 - pm-research.com
With increasing investor interest in low-volatility equity strategies comes a need for greater
scrutiny of different methodologies used to achieve low-volatility exposure. In an earlier …
scrutiny of different methodologies used to achieve low-volatility exposure. In an earlier …
Why your smart beta portfolio might not work
Smart beta, which accounts for rule-based factor-tilting strategies that fall between active
and passive investment, has emerged as an alternative to active investment after its major …
and passive investment, has emerged as an alternative to active investment after its major …
A Taxonomy of Beta Based on Investment Outcomes
S De Boer, M LaBella… - The Journal of Index …, 2016 - search.proquest.com
As the population of smart beta products has exploded, the quest to differentiate among
them has focused on portfolio construction. The authors of this article aim to shift the …
them has focused on portfolio construction. The authors of this article aim to shift the …