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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Jurczenko, Emmanuel (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam : Elsevier, 2015.
Colección:Quantitative finance set.
Temas:
Investments.
Business enterprises > Finance.
Investissements.
portfolios (financial records)
BUSINESS & ECONOMICS > Finance.
Business enterprises > Finance
Investments
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Cover ; Risk-Based and Factor Investing; Copyright ; Contents ; Acknowledgements ; Preface ; Chapter 1: Advances in Portfolio Risk Control
  • 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
  • 1.10. Evaluation 1.11. Appendix ; 1.12. Bibliography ; Chapter 2: Smart Beta: Managing Diversification of Minimum Variance Portfolios
  • 2.1. Introduction 2.2. Risk-based Investing and Variance Minimization ; 2.3. Managing the Diversification
  • 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

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