Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?

Author:

Nazaire Gregory,Pacurar Maria,Sy Oumar

Publisher

Elsevier BV

Subject

Finance

Reference46 articles.

1. Ang, A., 2018. Factors making waves. Available at www.blackrock.com/us/individual/investment-ideas/what-is-factor-investing/factor-commentary/andrews-angle/factor-growth.

2. Ang, A., Goetzmann, Schaefer, W.A., 2009. Evaluation of active management of the Norwegian government pension fund – global. Available at www.regjeringen.no/globalassets/upload/fin/statens-pensjonsfond/eksterne-rapporter-og-brev/ags-report.pdf.

3. Coherent measures of risk;Artzner;Mathematical finance,1999

4. Value and momentum everywhere;Asness;Journal of Finance,2013

5. The relationship between return and market value of common stocks;Banz;Journal of Financial Economics,1981

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