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 …

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 …

[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 …

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 …

Why your smart beta portfolio might not work

Y Lee, WC Kim - … Journal of Financial Engineering and Risk …, 2018 - inderscienceonline.com
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 …

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 …