Risk Based and Factor Investing

Written By Emmanuel Jurczenko
Risk Based and Factor Investing
  • Publsiher : Elsevier
  • Release : 24 November 2015
  • ISBN : 0081008112
  • Pages : 486 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Risk Based and Factor Investing written by Emmanuel Jurczenko which was release on 24 November 2015, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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

Risk Based and Factor Investing

Risk Based and Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher : Elsevier
  • Release Date : 2015-11-24
  • Total pages : 486
  • ISBN : 0081008112
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Summary : 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 ...

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners
  • Author : Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
  • Publisher : John Wiley & Sons
  • Release Date : 2019-06-12
  • Total pages : 496
  • ISBN : 0081008112
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Summary : A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book ...

Factor Investing

Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher : Elsevier
  • Release Date : 2017-10-17
  • Total pages : 480
  • ISBN : 0081008112
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Summary : 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 ...

Practical Guide to Risk Based Investing

Practical Guide to Risk Based Investing
  • Author : Emmanuel Jurczenko,Jérà ́me Teiletche
  • Publisher : Wiley-ISTE
  • Release Date : 2016-01-11
  • Total pages : 376
  • ISBN : 0081008112
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Summary : Download or read online Practical Guide to Risk Based Investing written by Emmanuel Jurczenko,Jérà ́me Teiletche, published by Wiley-ISTE which was released on 2016-01-11. Get Practical Guide to Risk Based Investing Books now! Available in PDF, ePub and Kindle....

Asset Management

Asset Management
  • Author : Andrew Ang
  • Publisher : Oxford University Press (UK)
  • Release Date : 2014
  • Total pages : 704
  • ISBN : 0081008112
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Summary : Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In his new book Asset Management: A Systematic Approach to Factor Investing, Ang upends ...

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners
  • Author : Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
  • Publisher : John Wiley & Sons
  • Release Date : 2019-05-29
  • Total pages : 496
  • ISBN : 0081008112
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Summary : A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book ...

The Use of Equity Factor Investing for Portfolio Insurance

The Use of Equity Factor Investing for Portfolio Insurance
  • Author : Harald Lohre
  • Publisher : Unknown
  • Release Date : 2018
  • Total pages : 9
  • ISBN : 0081008112
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Summary : Equity investments promise high expected returns, but not many investors can tolerate the associated risks. A possible solution may be to complement the equity strategy with a portfolio insurance element which ideally reduces the equity exposure whenever necessary to prevent the overall strategy from breaching a pre-defined floor. Based on ...

Smart er Investing

Smart er  Investing
  • Author : Elisabetta Basilico,Tommi Johnsen
  • Publisher : Springer Nature
  • Release Date : 2019-12-11
  • Total pages : 154
  • ISBN : 0081008112
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Summary : This book identifies and discusses the most successful investing practices with an emphasis on the academic articles that produced them and why this research led to popular adoption and growth in $AUM. Investors are bombarded with ideas and prescriptions for successful investing every day. Given the steady stream of information ...

A Practitioner s Guide to Asset Allocation

A Practitioner s Guide to Asset Allocation
  • Author : William Kinlaw,Mark P. Kritzman,David Turkington
  • Publisher : John Wiley & Sons
  • Release Date : 2017-05-22
  • Total pages : 256
  • ISBN : 0081008112
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Summary : Since the formalization of asset allocation in 1952 with the publication of Portfolio Selection by Harry Markowitz, there have been great strides made to enhance the application of this groundbreaking theory. However, progress has been uneven. It has been punctuated with instances of misleading research, which has contributed to the stubborn ...

Risk Parity Portfolios with Skewness Risk

Risk Parity Portfolios with Skewness Risk
  • Author : Benjamin Bruder
  • Publisher : Unknown
  • Release Date : 2016
  • Total pages : 48
  • ISBN : 0081008112
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Summary : This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness and jump risks are equivalent. ...

Asset Allocation

Asset Allocation
  • Author : William Kinlaw,Mark P. Kritzman,David Turkington
  • Publisher : John Wiley & Sons
  • Release Date : 2021-07-27
  • Total pages : 368
  • ISBN : 0081008112
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Summary : Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust ...

Index Fund Management

Index Fund Management
  • Author : Fadi Zaher
  • Publisher : Springer Nature
  • Release Date : 2019-08-28
  • Total pages : 248
  • ISBN : 0081008112
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Summary : This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way. In recent years, index and factor ...

Machine Learning for Factor Investing R Version

Machine Learning for Factor Investing  R Version
  • Author : Guillaume Coqueret,Tony Guida
  • Publisher : CRC Press
  • Release Date : 2020-09-01
  • Total pages : 319
  • ISBN : 0081008112
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Summary : Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the ...

The Current State of Quantitative Equity Investing

The Current State of Quantitative Equity Investing
  • Author : Ying L. Becker,Marc R. Reinganum
  • Publisher : CFA Institute Research Foundation
  • Release Date : 2018-05-10
  • Total pages : 72
  • ISBN : 0081008112
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Summary : Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early ...

Facts and Fantasies About Factor Investing

Facts and Fantasies About Factor Investing
  • Author : Zélia Cazalet
  • Publisher : Unknown
  • Release Date : 2014
  • Total pages : 112
  • ISBN : 0081008112
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Summary : The capital asset pricing model (CAPM) developed by Sharpe (1964) is the starting point for the arbitrage pricing theory (APT). It uses a single risk factor to model the risk premium of an asset class. However, the CAPM has been the subject of important research, which has highlighted numerous empirical contradictions. ...