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Indexes and Benchmarking
Risk-Based and Factor Investing

Authors: Editor: Emmanuel Jurczenko
Editions: Elsevier
Pages: 486 pages
Date: November 2015
 
 
 
Summary
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing.

The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with risk-based and factor investing 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.

Key features:
  • Contains up-to-date research from the areas of risk-based and factor investing
  • 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
Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini and Eric Shirbini contributed a chapter to the book entitled, "Designing Multi-Factor Equity Portfolios", which examines the following topics:
  • Designing efficient and investable proxies for risk premia
  • Risk allocation with smart factor indices
  • Absolute return perspective: Absolute risk management without factor risk exposure constraints; Introducing risk-budgeting constraints; Long-term evidence in the USA universe
  • Relative risk perspective: Methodology; Risk contributions and performance; Relative risk allocation using long-term USA factor indices
  • Index design and allocation decisions for multi-factor equity portfolios