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Efficient integration of risk premia exposures into equity portfolios

Author

Listed:
  • B. Vaucher

    (Syz Asset Management, Systematic Investments Group)

  • A. Medvedev

    (Lombard Odier Asset Managers)

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.

Suggested Citation

  • B. Vaucher & A. Medvedev, 2017. "Efficient integration of risk premia exposures into equity portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 538-546, December.
    • Handle: RePEc:pal:assmgt:v:18:y:2017:i:7:d:10.1057_s41260-017-0052-9
    DOI: 10.1057/s41260-017-0052-9
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Cited by:

    1. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.

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