We construct mean-variance portfolios using a factor model approach. We show the importance of portfolio allocation for large unbalanced equity data sets using the full CRSP database. We compare the performance of our portfolio construction methodology to the 1/N naive diversification strategy,...

Existence of premiums for factors is known to quantitative equity fund managers. They use factors to get premium of them when they construct (factor tilted) portfolio from a lot of stocks.They try to use many factors in order to get the premiums effectively by calculating covariance of each...

The risk of infrastructure investments is driven by unique factors that cannot be well described by standard asset class factor models. We thus create a nine-factor model based on infrastructure-specific risk exposure, i.e., market risk, size, value, momentum, cashflow volatility, leverage,...