This paper presents two simple algorithms to calculate the portfolio weights for a risk parity
strategy, where asset class covariance information is appropriately ƚĂŬĞŶ ŝŶƚŽ …

This study proposes a principal alpha-style factor integrated risk parity strategy that can
diversify style risk factors and the stock selection risk of external managers in Fund-of-Funds …

In this paper, a risk parity strategy based on portfolio kurtosis as reference measure is
introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an …

Traditional risk parity strategies are based on equal risk weighting of selected asset classes.
The method seeks to equalize the risk contribution by the asset classes in an asset …

In this paper we investigate and evaluate factor investing in the US and Europe for equities
and bonds. We show that factor‐based portfolios generally produce comparable or better …

Trend-following strategies take long positions in assets with positive past returns and short
positions in assets with negative past returns. They are typically constructed using futures …

A factor-based investing framework integrates factorexposure decisions into the portfolio
construction process. The framework involves identifying factors and determining an …

Mean–variance optimization has recently come under great criticism based on the poor
performance experienced by asset managers during the global financial crisis. In response …

This paper studies the level, determinants, and implications of the factor timing ability of
hedge fund managers. We find that approximately 34% of hedge funds display factor timing …

There is ample empirical research on the existence of factors; research on the actual
implementation is scarce. This article analyzes how factor investing can be embedded in the …