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...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Other Authors: Jurczenko, Emmanuel (Editor)
Format: Electronic eBook
Language:Inglés
Published: Amsterdam : Elsevier, 2015.
Series:Quantitative finance set.
Subjects:
Investments.
Business enterprises > Finance.
Investissements.
portfolios (financial records)
BUSINESS & ECONOMICS > Finance.
Business enterprises > Finance
Investments
Online Access:Texto completo
Table of Contents:
  • 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

Similar Items