Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
L Martellini, V Milhau - Journal of Portfolio Management, 2018 - search.proquest.com
Multi-asset investment solutions have become increasingly popular among sophisticated
institutional investors focusing on efficient harvesting of risk premia across and within asset …
institutional investors focusing on efficient harvesting of risk premia across and within asset …
Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management
JM Maeso, L Martellini… - Journal of Portfolio …, 2020 - search.proquest.com
This article provides a detailed analysis of the theoretical, statistical, and implementation
challenges related to factor investing in the US sovereign bond markets, with a focus on the …
challenges related to factor investing in the US sovereign bond markets, with a focus on the …
Remember to Diversify Your Active Risk: Evidence from US Equity ETFs
B Herzog, J Jones, S Safaee - The Journal of Beta Investment …, 2023 - jii.pm-research.com
In this article, the authors estimate the level of risk diversification for a universe of US equity
exchange-traded funds (ETFs) and observe the benefits of diversification for the budgeting …
exchange-traded funds (ETFs) and observe the benefits of diversification for the budgeting …
The Perceived Advantages of Self-Indexing for Institutional Equity Investors.
B Herzog, J Jones, S Safaee - Journal of Beta Investment …, 2023 - search.ebscohost.com
Institutional asset owners increasingly seek to customize index-linked strategies in order to
take their ESG and climate preferences into consideration. This trend away from …
take their ESG and climate preferences into consideration. This trend away from …
[PDF][PDF] Factor Investing in Government Bond Markets-Part I-Time-Series Perspective
This paper is the first in a series of two papers that provide a detailed analysis of the
theoretical, empirical and practical challenges related to factor investing in sovereign bond …
theoretical, empirical and practical challenges related to factor investing in sovereign bond …
[PDF][PDF] Onko indekseillä mahdollista saada faktorituottoa?
JM Tölli - 2018 - oulurepo.oulu.fi
Faktorisijoittaminen tarkoittaa strategiaa, jossa sijoitusten allokointi päätetään
omaisuuserien tuottoon ja riskiin vaikuttavien tekijöiden eli faktoreiden avulla. Faktorit …
omaisuuserien tuottoon ja riskiin vaikuttavien tekijöiden eli faktoreiden avulla. Faktorit …