Research and publications
Risk-Based and Factor Investing
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 ...
Author(s):
Noël Amenc, Felix Goltz, Ashish Lodh, Romain Deguest, Lionel Martellini, Eric Shirbini
Summary:
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
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| Date : | 25/11/2015 |
| Editor : | ISTE Press - Elsevier |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
