This book entitled "Risk-Based and Factor Investing" contains a compilation of recent articles written by leading academics and practitioners in this field. The articles introduce readers to some o ...
This book entitled "Risk-Based and Factor Investing" contains a compilation of recent articles written by leading academics and practitioners in this field. The articles introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with risk-based and factor investing solutions. Together, the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies.
Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances.
Lionel Martellini from EDHEC-Risk Institute, together with Noël Amenc, Felix Goltz, and Eric Shirbini from ERI Scientific Beta, contributed a chapter to the book entitled, "Designing Multi-Factor Equity Portfolios", which examines the following topics:
Designing efficient and investable proxies for risk premia
Risk allocation with smart factor indices
Absolute return perspective: Absolute risk management without factor risk exposure constraints; Introducing risk-budgeting constraints; Long-term evidence in the USA universe
Relative risk perspective: Methodology; Risk contributions and performance; Relative risk allocation using long-term USA factor indices
Index design and allocation decisions for multi-factor equity portfolios
|Editor :||ISTE Press - Elsevier|