Factor Investing: From Traditional to Alternative Risk Premia (Quantitative Finance)
by: Emmanuel Jurczenko (Editor)
Publisher:ISTE Press - Elsevier
Publication Date: 13 Oct. 2017
Language:English
Print Length:480 pages
ISBN-10:1785482017
ISBN-13:9781785482014
Book Description
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing.A practical scopeAn extensive coverage and up-to-date researcch contributionsCovers the topic of factor investing strategies which are increasingly popular amongst practitioners
About the Author
Review Provides practitioners key information on the increasingly popular subject of factor investing strategies
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.
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