This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI 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. Despite some articles being technical in nature, this book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFIFeatures contributions from leading academics and practitioners in this fieldFeatures discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students INDICE: Chapter 1: Risk-based Investing1. Advances in Portfolio Risk Control: Risk Parity?2. Smart Beta: Managing Diversification of Minimum Variance Portfolios3. Trend-following, Risk-parity and the influence of Correlations4. Diversifying Risk Parity: In Today, Out Tomorrow? 5. Robust Allocation with Systematic Risk Contribution Restrictions6. Based Investing but What Risk(s)?7. Target Volatility8. Smart Beta Equity Investing Through Calm and Storm9. Solving the RebalancingChapter 2. Factor-based Investing10. Smart Betas and Linear Factor Models11. Low-risk Anomaly Everywhere: Evidence from Equity Sectors12. The Low Volatility Anomaly and the Preference for Gambling 13. The Low Beta Anomaly and Interest Rates14. Factoring Profitability15. Deploying Multi-factor Index Allocations in Institutional Portfolios 16. Defining the Equity Premium, a Framework17. Designing Multi-Factor Equity Portfolios 18. Factor Investing and Portfolio Construction Techniques19. Multiple-Factor Portfolio Construction for Passively Managed Portfolios 20. Statistical Overfitting and Backtest Performance
- ISBN: 978-1-78548-008-9
- Editorial: Elsevier
- Encuadernacion: Cartoné
- Páginas: 486
- Fecha Publicación: 20/11/2015
- Nº Volúmenes: 1
- Idioma: Inglés
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