DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Jang Ho | ko |
dc.contributor.author | Kim, Woo Chang | ko |
dc.contributor.author | Fabozzi, Frank J. | ko |
dc.date.accessioned | 2018-03-23T00:18:44Z | - |
dc.date.available | 2018-03-23T00:18:44Z | - |
dc.date.created | 2018-03-20 | - |
dc.date.created | 2018-03-20 | - |
dc.date.created | 2018-03-20 | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | JOURNAL OF PORTFOLIO MANAGEMENT, v.43, no.5, pp.157 - 164 | - |
dc.identifier.issn | 0095-4918 | - |
dc.identifier.uri | http://hdl.handle.net/10203/240991 | - |
dc.description.abstract | In quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies. | - |
dc.language | English | - |
dc.publisher | INST INVESTOR INC | - |
dc.title | Robust Factor-Based Investing | - |
dc.type | Article | - |
dc.identifier.wosid | 000426456600013 | - |
dc.identifier.scopusid | 2-s2.0-85029450750 | - |
dc.type.rims | ART | - |
dc.citation.volume | 43 | - |
dc.citation.issue | 5 | - |
dc.citation.beginningpage | 157 | - |
dc.citation.endingpage | 164 | - |
dc.citation.publicationname | JOURNAL OF PORTFOLIO MANAGEMENT | - |
dc.identifier.doi | 10.3905/jpm.2017.43.5.157 | - |
dc.contributor.localauthor | Kim, Woo Chang | - |
dc.contributor.nonIdAuthor | Kim, Jang Ho | - |
dc.contributor.nonIdAuthor | Fabozzi, Frank J. | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | VALUE-AT-RISK | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | MODEL UNCERTAINTY | - |
dc.subject.keywordPlus | OPTIMIZATION | - |
dc.subject.keywordPlus | CONSTRUCTION | - |
dc.subject.keywordPlus | ERRORS | - |
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