Transcription of FactorInvestingandEquityPortfolioConstruction
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FactorInvestingandEquityPortfolioConstruction
Summary Empirical Evidence of Risk Factors From Risk Factors to Factor Investing Asset Allocation with Risk Factors Factor Investing and Equity Portfolio Construction1. Thierry Roncalli? ? Lyxor Asset Management, France Amsterdam, January 2015. 1 The materials used in these slides are taken from Cazalet Z. and Roncalli T. (2014), Facts and Fantasies About Factor Investing, Lyxor Research Paper, 116 pages. Thierry Roncalli Factor Investing and Equity Portfolio Construction 1 / 114. Summary Empirical Evidence of Risk Factors From Risk Factors to Factor Investing Asset Allocation with Risk Factors Lyxor Research Paper Thierry Roncalli Factor Investing and Equity Portfolio Construction 2 / 114.
Summary EmpiricalEvidenceofRiskFactors FromRiskFactorstoFactorInvesting AssetAllocationwithRiskFactors Fromriskfactorstofactorinvesting Factorzoo Factsandfantasies
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