Emmanuel Jurczenko
Elsevier Science
e druk, 2017
9781785482014
Factor Investing
From Traditional to Alternative Risk Premia
Specificaties
Gebonden, blz.
|
Engels
Elsevier Science |
e druk, 2017
ISBN13: 9781785482014
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Juridisch
:
Levertijd ongeveer 9 werkdagen
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Samenvatting
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing.
Specificaties
Inhoudsopgave
<p>1. The Price of Factors and the Implications for Active Investing<br>2. Factor Investing: The Rocky Road from Long-Only to Long-Short<br>3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions<br>4. Diversify and Purify Factor Premiums in Equity Markets<br>5. The Predictability of Risk-Factor Returns<br>6. Style Factor Timing<br>7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing<br>8. Investment and Profitability: A Quality Factor that Actually Works<br>9. Common Equity Factors in Corporate Bond Markets<br>10. Alternative Risk Premia: What Do We Know?<br>11. Strategic Portfolio Allocation With Factors<br>12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation<br>13. Optimizing Cross-Asset Carry<br>14. Diversification and the Volatility Risk Premium<br>15. Factor Investing and ESG Integration<br>16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing</p>
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