Chapter 17: Portfolio Construction
Factor-Mimicking Portfolios advanced
A factor view becomes tradable only after you specify how to load on the target exposure while neutralizing the risks you do not want to own accidentally.
A factor view becomes tradable only after you specify how to load on the target exposure while neutralizing the risks you do not want to own accidentally.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
The Cross-Section of Expected Stock Returns
Eugene F. Fama, Kenneth R. French
(1992)
— The Journal of Finance
Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French
(1993)
— Journal of Financial Economics
A five-factor asset pricing model
Eugene F. Fama, Kenneth R. French
— Journal of Financial Economics