Factor Investing

From Traditional to Alternative Risk Premia

Inbunden, Engelska, 2017

2 659 kr

Beställningsvara. Skickas inom 7-10 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

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.

A practical scope
An extensive coverage and up-to-date researcch contributions
Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Produktinformation

Utgivningsdatum2017-10-09
Mått152 x 229 x 32 mm
Vikt770 g
FormatInbunden
SpråkEngelska
Antal sidor480
FörlagElsevier Science
ISBN9781785482014

Tillhör följande kategorier

Finansiering inom Ekonomi och ledarskap
Redovisning inom Ekonomi och ledarskap
Biovetenskap inom Naturvetenskap och teknik
Privatekonomi inom Ekonomi och ledarskap

Emmanuel Jurczenko is Associate Dean and Professor of Finance at Ecole Hôtelière de Lausanne, Switzerland. His research focuses on portfolio and risk management with a particular interest in risk budgeting, factor investing, and public and private equity real estate investments. Prior to joining Ecole hôtelière de Lausanne, he worked for ABN-AMRO between 2000 and 2006 as head of quantitative analysts, where he was in charge of quantitative fund selection. Mr. Jurczenko has written numerous articles which have been published in academic and practitioner journals. He holds a Ph.D. in Economics from the University of Paris 1 Panthéon Sorbonne in France.

1. The Price of Factors and the Implications for Active Investing2. Factor Investing: The Rocky Road from Long-Only to Long-Short3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions4. Diversify and Purify Factor Premiums in Equity Markets5. The Predictability of Risk-Factor Returns6. Style Factor Timing7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing8. Investment and Profitability: A Quality Factor that Actually Works9. Common Equity Factors in Corporate Bond Markets10. Alternative Risk Premia: What Do We Know?11. Strategic Portfolio Allocation With Factors12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation13. Optimizing Cross-Asset Carry14. Diversification and the Volatility Risk Premium15. Factor Investing and ESG Integration16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing