Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230157
Authors: 
Dichtl, Hubert
Drobetz, Wolfgang
Wendt, Viktoria‐Sophie
Year of Publication: 
2020
Citation: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] [Issue:] [Pages:] n/a-n/a
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: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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