Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

被引：1

作者：

Melas, Dimitris ^{[1
]}

机构：

[1] MSCI, London, England

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2021年 / 47卷 / 05期

关键词：

MARKET; RETURNS; EQUILIBRIUM; PRICES; STOCKS; RISK;

D O I：

10.3905/jpm.2021.1.220

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Factors are the underlying forces that drive portfolio risk and performance over different investment horizons. In this article, first the author reviews the theoretical foundations and practical applications of factor models. The author then discusses the integration of factors into different types of investment strategies. He concludes with a discussion of how factor models and strategies enable investors to manage total portfolio risk and capture risk premiums through the asset allocation process.

引用

页码：51 / 57

页数：7

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