Risk-Based and Factor Investing

✍ Scribed by Jurczenko, Emmanuel

• Publisher: ISTE Press - Elsevier
• Year: 2015
• Tongue: English
• Leaves: 458
• Edition: 1
• Category: Library

✦ Synopsis

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

✦ Table of Contents

Content:
Front matter,Copyright,Acknowledgements,PrefaceEntitled to full text1 - Advances in Portfolio Risk Control, Pages 1-30, Winfried G. Hallerbach
2 - Smart Beta: Managing Diversification of Minimum Variance Portfolios, Pages 31-63, Jean-Charles Richard, Thierry Roncalli
3 - Trend-Following, Risk-Parity and the Influence of Correlations, Pages 65-95, Nick Baltas
4 - Diversifying Risk Parity: In Today, Out Tomorrow?, Pages 97-122, Harald Lohre, Heiko Opfer, Gábor Ország
5 - Robust Portfolio Allocation with Systematic Risk Contribution Restrictions1, Pages 123-146, Serge Darolles, Christian Gouriéroux, Emmanuelle Jay
6 - Risk-Based Investing but What Risk(s)?, Pages 147-171, Emmanuel Jurczenko, Jérôme Teiletche
7 - Target Volatility, Pages 173-193, Bernd Scherer
8 - Smart Beta Equity Investing Through Calm and Storm, Pages 195-225, Kris Boudt, Joakim Darras, Giang Ha Nguyen, Benedict Peeters
9 - Solving the Rebalancing Premium Puzzle1, Pages 227-246, Vladyslav Dubikovskyy, Gabriele Susinno
10 - Smart Betas: Theory and Construction1, Pages 247-264, Attilio Meucci
11 - Low-Risk Anomaly Everywhere: Evidence from Equity Sectors, Pages 265-289, Raul Leote De Carvalho, Majdouline Zakaria, Xiao Lu, Pierre Moulin
12 - The Low Volatility Anomaly and the Preference for Gambling, Pages 291-303, Jason C. Hsu, Vivek Viswanathan
13 - The Low Beta Anomaly and Interest Rates, Pages 305-328, Cherry Muijsson, Ed Fishwick, Steve Satchell
14 - Factoring Profitability1, Pages 329-337, Lisa R. Goldberg, Ran Leshem, Michael Branch
15 - Deploying Multi-Factor Index Allocations in Institutional Portfolios, Pages 339-363, Jennifer Bender, Remy Briand, Dimitris Melas, Raman Aylur Subramanian, Madhu Subramanian
16 - Defining the Equity Premium, a Framework, Pages 365-375, Yves Choueifaty, Christophe Roehri
17 - Designing Multi-Factor Equity Portfolios, Pages 377-399, Noël Amenc, Romain Deguest, Felix Goltz, Lionel Martellini, Eric Shirbini, Ashish Lodh
18 - Factor Investing and Portfolio Construction Techniques, Pages 401-433, Yin Luo, Spyros Mesomeris
19 - Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios, Pages 435-447, Jennifer Bender, Taie Wang
20 - Statistical Overfitting and Backtest Performance, Pages 449-461, David H. Bailey, Stephanie Ger, Marcos Lopez de Prado, Alexander Sim
List of Authors, Pages 463-465
Index, Pages 467-468