Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230157 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] 27 [Issue:] 1 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 20-58
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
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.
Schlagwörter: 
factor‐based allocation
multiple testing
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Dokumentart: 
Article
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