Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing
Hidehiko Shimizu, Takayuki Shiohama
| Year of publication: |
2020
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|---|---|
| Authors: | Shimizu, Hidehiko ; Shiohama, Takayuki |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-9
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| Subject: | Factor investing | Multifactor portfolio | Risk parity | Risk-based asset allocation | Smart beta | Portfolio-Management | Portfolio selection | Volatilität | Volatility | CAPM | Kapitalanlage | Financial investment | Risiko | Risk | Anlageverhalten | Behavioural finance | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101438 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012300934