Factor investing [electronic resource] : from traditional to alternative risk premia / edited by Emmanuel Jurczenko.

• 其他作者：
  • Jurczenko, Emmanuel, editor.
• 出版： London, UK :Kidlington, Oxford, UK : ISTE Press ;Elsevier 2017.
• 叢書名： Quantitative finance set
• 主題： Investments. , Asset allocation. , Portfolio management. , BUSINESS & ECONOMICS--Finance. , Portfolio management. , Asset allocation. , Investments. , Electronic books. , Conference papers and proceedings. , Conference papers and proceedings.
• ISBN： 9780081019641 (electronic bk.) 、 0081019645 (electronic bk.) 、 1785482017 、 9781785482014
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• 一般註：Includes bibliographical references and index. Front Cover -- Factor Investing: From Traditional to Alternative Risk Premia -- Copyright -- Contents -- Foreword -- Acknowledgements -- Introduction -- Bibliography -- 1. The Price of Factors and the Implications for Active Investing -- 1.1. Introduction -- 1.2. Smart beta: the Uber of asset management -- 1.3. Allocating to smart beta: an unambiguously active decision -- 1.4. Adoption of smart beta -- 1.5. Organizational issues for smart beta -- 1.6. Toward idiosyncratic returns -- 1.7. The role of benchmarks: has the benchmark triumphed, or is it dead? 1.8. Idiosyncratic returns: the emergence of a multivariate benchmark whether one likes it or not1.9. Opportunities for asset managers and asset owners -- 1.10. Bibliography -- 2. Factor Investing: The Rocky Roadfrom Long-Only to Long-Short -- 2.1. Introduction -- 2.2. Short-selling and factor investing -- 2.3. Data and methods -- 2.4. Empirical results -- 2.5. Conclusion -- 2.6. Bibliography -- 3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions -- 3.1. Introduction 3.2. A framework for rules-based portfolio construction3.3. Key decisions for rules-based portfolio construction: security selection and weighting -- 3.4. The maximum effective multiplier -- 3.5. Analyzing the MEM for several popular cases -- 3.6. Conclusion -- 3.7. Appendices -- 3.8. Bibliography -- 4. Diversify and Purify Factor Premiums in Equity Markets -- 4.1. Introduction -- 4.2. Factors -- 4.3. Results -- 4.4. Conclusions -- 4.5. Bibliography -- 5. The Predictability of Risk-Factor Returns -- 5.1. Introduction -- 5.2. Literature review 5.3. Methodology5.4. Data -- 5.5. Results -- 5.6. Conclusion -- 5.7. Bibliography -- 6. Style Factor Timing -- 6.1. Introduction -- 6.2. Why does it matter? -- 6.3. Modeling techniques -- 6.4. Global macro database -- 6.5. Conclusion -- 6.6. Bibliography -- 7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing -- 7.1. Introduction -- 7.2. Data -- 7.3. Style portfolios and style flows -- 7.4. Style flows, returns and risk: a statistical perspective -- 7.5. Economic significance 7.6. The effect of using non-overlapping data7.7. Conclusions -- 7.8. Bibliography -- 8. Investment and Profitability: A Quality Factor that Actually Works -- 8.1. Introduction -- 8.2. Literature review -- 8.3. Robustness across geographies and definitions -- 8.4. A more detailed examination of profitability and investment -- 8.5. Conclusion -- 8.6. Appendix: Profitability and investment from multifactor perspective a practitioner perspective -- 8.7. Bibliography -- 9. Common Equity Factors in Corporate Bond Markets -- 9.1. Introduction 110年度臺灣學術電子書暨資料庫聯盟採購
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• 系統號： 000291809 | 機讀編目格式