Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/230157 
Year of Publication: 
2021
Citation: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] 27 [Issue:] 1 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 20-58
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
Factor-based allocation embraces the idea of factors, as opposed to asset classes, as the ultimate building blocks of investment portfolios. We examine whether there is a superior way of combining factors in a portfolio and provide a comparison of factor-based allocation strategies within a multiple testing framework. Factor-based allocation is profitable beyond exploiting genuine risk premia, even when applying multiple testing corrections. Investment portfolios can be efficiently diversified using factor-based allocation strategies, as demonstrated by robust economic performance over various economic scenarios. The naïve equally weighted factor portfolio, albeit simple and cost-efficient, cannot be outperformed by more sophisticated allocation strategies.
Subjects: 
factor‐based allocation
multiple testing
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.