Given the tremendous growth of factor allocation strategies in active and passive fund
management, we investigate whether factor or sector asset allocation strategies provide …

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and …

Factor‐based allocation embraces the idea of factors, as opposed to asset classes, as the
ultimate building blocks of investment portfolios. We examine whether there is a superior …

This study developed an investment framework to implement dynamic factor rotation
strategies according to changes in economic conditions. I constructed a useful macro …

The role of factors in macro investing has come into question after mediocre performance
during the past decade. In this article, the authors confirm this decline in profitability and …

We present a data-driven neural network approach to find optimal dynamic (multi-period)
factor investing 6 strategies in the presence of transaction costs. The factor investing …

With the aim of optimally reaping factor premia, the thesis utilises parametric portfolio polices
to inquire about the merits of timing factors based on time-series predictors and tilting factors …

This paper investigates whether lower-frequency investment strategies can be enhanced by
the use of high-frequency news analytics. First, we study the cross-sectional characteristics …

We propose a novel method to rotate portfolios dynamically via machine learning. Our
empirical results show that portfolio rotation strategies via machine learning can generate …

In der empirischen Kapitalmarktforschung existieren hunderte von Anomalien bzw.
Faktoren, die versuchen erwartete Aktienrenditen zu erklären. Factor investing versucht …