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Risk-based and factor investing /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Elsevier,
2015.
|
| Colección: | Quantitative finance set.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 003 | OCoLC | ||
| 005 | 20231120112039.0 | ||
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| 008 | 151201s2015 ne ob 001 0 eng d | ||
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| 019 | |a 930833990 |a 968065826 |a 969071848 | ||
| 020 | |a 9780081008119 |q (electronic bk.) | ||
| 020 | |a 0081008112 |q (electronic bk.) | ||
| 020 | |z 9781785480089 | ||
| 020 | |z 1785480081 | ||
| 035 | |a (OCoLC)930703392 |z (OCoLC)930833990 |z (OCoLC)968065826 |z (OCoLC)969071848 | ||
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| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.6 |2 23 |
| 245 | 0 | 0 | |a Risk-based and factor investing / |c edited by Emmanuel Jurczenko. |
| 264 | 1 | |a Amsterdam : |b Elsevier, |c 2015. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 0 | |a Quantitative finance set. | |
| 588 | 0 | |a Online resource; title from PDF title page (EBSCO, viewed December 9, 2015). | |
| 504 | |a Includes bibliographical references and index. | ||
| 520 | |a 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. | ||
| 505 | 0 | |a Front Cover ; Risk-Based and Factor Investing; Copyright ; Contents ; Acknowledgements ; Preface ; Chapter 1: Advances in Portfolio Risk Control | |
| 505 | 8 | |a 1.1. Introduction 1.2. The Empirical Example and Preliminaries; 1.3. Maximum Sharpe Ratio Portfolio (MSRP); 1.4. 1/N or Equal-Weighting; 1.5. Minimum Variance Portfolio (MVP); 1.6. Maximum Diversification Portfolio (MDP); 1.7. Equal Risk Contribution Portfolio (ERCP): Full Risk Parity; 1.8. Inverse Volatility Portfolio (IVP): Naive Risk Parity; 1.9. Volatility Weighting over Time | |
| 505 | 8 | |a 1.10. Evaluation 1.11. Appendix ; 1.12. Bibliography ; Chapter 2: Smart Beta: Managing Diversification of Minimum Variance Portfolios | |
| 505 | 8 | |a 2.1. Introduction 2.2. Risk-based Investing and Variance Minimization ; 2.3. Managing the Diversification | |
| 505 | 8 | |a 2.4. Understanding the Behavior of Smart Beta Portfolios 2.5. Conclusion ; 2.6. Appendix ; 2.7. Bibliography ; Chapter 3: Trend-Following, Risk-Parity and the Influence of Correlations | |
| 650 | 0 | |a Investments. | |
| 650 | 0 | |a Business enterprises |x Finance. | |
| 650 | 6 | |a Investissements. |0 (CaQQLa)201-0004448 | |
| 650 | 7 | |a portfolios (financial records) |2 aat |0 (CStmoGRI)aat300027563 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Business enterprises |x Finance |2 fast |0 (OCoLC)fst00842558 | |
| 650 | 7 | |a Investments |2 fast |0 (OCoLC)fst00978234 | |
| 700 | 1 | |a Jurczenko, Emmanuel, |e editor. | |
| 776 | 0 | 8 | |i Print version: |z 1785480081 |z 9781785480089 |w (OCoLC)925497583 |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9781785480089 |z Texto completo |