Efficient integration of risk premia exposures into equity portfolios

B. Vaucher () and A. Medvedev
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B. Vaucher: Syz Asset Management, Systematic Investments Group
A. Medvedev: Lombard Odier Asset Managers

Journal of Asset Management, 2017, vol. 18, issue 7, No 4, 538-546

Abstract: Abstract We present a stock selection methodology that maximizes the expected returns of equity portfolios by efficiently managing their exposures to a given ensemble of risk premia, also known as factors. Our approach is mathematically grounded, robust in its design, and applicable in practice. It addresses several issues specific to factor investing, such as cross-sectional interactions between factors, the mismatch between the factors performance cycles and typical rebalancing periods, or the mitigation of interactions between the capital allocation schemes and factor exposures.

Keywords: Equity risk premia; Factor investing; Portfolio construction; Portfolio allocation; Stock selection (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1057/s41260-017-0052-9

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