Equity factors for multi-asset class portfolios: a strategic asset allocation perspective

Author:

Cavaglia Stefano,Scott Louis,Blay Kenneth,Gupta Tarun

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Reference22 articles.

1. Blay, Kenneth, Anish Gosh, Steven Kusiak, Harry Markowitz, Nicholas Savoulides, and Qi. Zheng. 2020. Multiperiod Portfolio Selection: A Practical Simulation-Based Framework. Journal of Investment Management 18 (4): 94–129.

2. Blitz, David, Joop Huij, Simon Lansdorp, and Pim van Vliet. 2014. Factor Investing: Long-Only versus Long-Short. SSRN Working Paper. https://dx.doi.org/https://doi.org/10.2139/ssrn.2417221

3. Briere, Marie, Charles-Albert Lehalle, Tamara Nefedova, and Amine Raboun. 2020. Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies. SSRN Working Paper. http://dx.doi.org/https://doi.org/10.2139/ssrn.3380239

4. Cavaglia, Stefano, Louis Scott, Kenneth Blay, and Vincent De Martel. 2021a. Momentum, Value, and Carry Commodity Factors for Multi-Asset Portfolios. In Market Momentum: Theory and Practice, ed. Stephen Satchell and Andrew Grant, 359–386. New York: Wiley.

5. Cavaglia, Stefano, Vadim Moroz, and Louis Scott. 2021b. Exploiting the Countercyclical Properties of Momentum and other Factor Premia – a Cross Country Perspective. In Market Momentum: Theory and Practice, ed. Stephen Satchell and Andrew Grant, 198–217. New York: Wiley.

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