Risk-Based and Factor Investing - Hardcover

Hardcover

ISBN 10: 1785480081 ISBN 13: 9781785480089

Publisher: ISTE Press - Elsevier, 2015

Synopsis

This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI).

The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI 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. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing.

• Contains up-to-date research from the areas of RBFI
• 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

About this title

Review

A collection of cutting-edge research articles from leaders in the field of RBFI

About the Author

Emmanuel Jurczenko is Associate Dean and Professor of Finance at Ecole Hôtelière de Lausanne, Switzerland. His research focuses on portfolio and risk management with a particular interest in risk budgeting, factor investing, and public and private equity real estate investments. Prior to joining Ecole hôtelière de Lausanne, he worked for ABN-AMRO between 2000 and 2006 as head of quantitative analysts, where he was in charge of quantitative fund selection. Mr. Jurczenko has written numerous articles which have been published in academic and practitioner journals. He holds a Ph.D. in Economics from the University of Paris 1 Panthéon Sorbonne in France.

Edition details

• Publisher: ISTE Press - Elsevier
• Publication date: 2015
• ISBN 10: 1785480081
• ISBN 13: 9781785480089
• Binding: Hardcover
• Language: English
• Number of pages: 486
• Editor: Jurczenko Emmanuel