| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10824 |
| DP10824 Investing in Systematic Factor Premiums | |
| Kees Koedijk | |
| 发表日期 | 2015-09-13 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | In this paper we investigate and evaluate factor investing in the United States and Europe for equities and bonds. We show that factor-based portfolios generally produce comparable or better portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimization methods and add a basic liability structure. The results remain robust when we add real estate and commodities to equities and bonds. Also, the results are not dependent to the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous. |
| 主题 | Financial Economics |
| 关键词 | Factor investing European data Optimization Timing |
| URL | https://cepr.org/publications/dp10824 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539653 |
| 推荐引用方式 GB/T 7714 | Kees Koedijk. DP10824 Investing in Systematic Factor Premiums. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Kees Koedijk]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Kees Koedijk]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Kees Koedijk]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
