Risk-Based and Factor Investing (ePub)
The articles are intended to introduce readers to some of the latest, cutting edge research...
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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. 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 RBFI
- Features contributions from leading academics and practitioners in this field
- Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
- 2015, 486 Seiten, Englisch
- Herausgegeben: Emmanuel Jurczenko
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0081008112
- ISBN-13: 9780081008119
- Erscheinungsdatum: 24.11.2015
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: ePub
- Größe: 9.31 MB
- Mit Kopierschutz
- Vorlesefunktion
"Risk-Based and Factor Investing is a must-read for all students of quantitative asset-allocation and portfolio construction methods. Remarkably, Jurczenko manages to offer under a single cover some of the best reading from academics and practitioners leading the research and application of these investment techniques. The collection of articles offers a rare balance of theoretical rigour, practical insight and guidance that will be an excellent reference for investment professionals and researchers alike, for years to come." --Michael Sabbatini, Partner, Capital International
"Risk based and factor investing (RBFI) techniques are increasingly used by investors to allocate capital in their investment portfolios. This book contains a collection of papers that address some of the theoretical and practical aspects associated with making such allocations. The range of topics and the depth of analysis in the articles make this collection invaluable to practitioners looking to implement such strategies as well as academics seeking to gain an understanding of recent developments in portfolio management. Regardless of whether you are new to this field or an experienced professional you will undoubtedly gain valuable insight into the world of RBFI from this book." --Harindra de Silva, President, Analytic Investors
"The twenty chapters in this book are written by top-quality academics and practitioners who have been at the forefront of recent advances in investment management. Thesechapters cover abroad range of topics that are at the cutting edge of investment managementranging fromportfolio risk control, smart beta, risk parity, robust portfolio allocation, andthe rebalancingpremium. The book also discusses various anomalies such as the low-risk andlow-beta anomalies andincludes a modern discussion of the equity risk premium,multifactor portfolio construction, andstatistical over fitting and backtesting. This comprehensive guide will be an invaluable resourceto portfolio and asset managers as well as academicswho wish to better understand thelatest advances in the practice of investment management.The book offers a rich collectionof theoretical results,empirical findings, and deep insights about investment practice." --Raman Uppal, Professor of Finance, Edhec Business School
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