Diversified or Concentrated Factor Tilts?

Noël Amenc; Frédéric Ducoulombier; Felix Goltz; Ashish Lodh; Sivagaminathan Sivasubramanian

doi:10.3905/jpm.2016.42.2.064

Diversified or Concentrated Factor Tilts?

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Ashish Lodh and Sivagaminathan Sivasubramanian

The Journal of Portfolio Management Winter 2016, 42 (2) 64-76; DOI: https://doi.org/10.3905/jpm.2016.42.2.064

Noël Amenc

is a professor of finance at EDHEC-Risk Institute and the CEO of ERI Scientific Beta in Singapore.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: noel.amenc@edhec-risk.com

Frédéric Ducoulombier

is an associate professor of finance at EDHEC-Risk Institute and a business development director for Asia ex Japan and the Middle East at ERI Scientific Beta in Singapore.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: frederic.ducoulombier@edhec-risk.com

Felix Goltz

is the head of applied research at EDHEC-Risk Institute and a research director at ERI Scientific Beta in Nice, France.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: felix.goltz@scientificbeta.com

Ashish Lodh

is a deputy research director at ERI Scientific Beta in Nice, France.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: ashish.lodh@scientificbeta.com

Sivagaminathan Sivasubramanian

is a quantitative research analyst at ERI Scientific Beta in Nice, France.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: sivagaminathan.sivasubramanian@scientificbeta.com

Article
Info & Metrics
PDF (Subscribers Only)

Click to login and read the full article.

Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Username *

Password *

Forgot your user name or password?

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Portfolio Management

Vol. 42, Issue 2

Winter 2016

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following Diversified or Concentrated Factor Tilts?

Message Subject (Your Name) has sent you a message from The Journal of Portfolio Management

Message Body (Your Name) thought you would like to see the The Journal of Portfolio Management web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

Diversified or Concentrated Factor Tilts?

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Ashish Lodh, Sivagaminathan Sivasubramanian

The Journal of Portfolio Management Jan 2016, 42 (2) 64-76; DOI: 10.3905/jpm.2016.42.2.064

Citation Manager Formats

BibTeX
Bookends
EasyBib
EndNote (tagged)
EndNote 8 (xml)
Medlars
Mendeley
Papers
RefWorks Tagged
Ref Manager
RIS
Zotero

Save To My Folders

User Name *

Password *

Remember my user name & password.

Diversified or Concentrated Factor Tilts?

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Ashish Lodh, Sivagaminathan Sivasubramanian

The Journal of Portfolio Management Jan 2016, 42 (2) 64-76; DOI: 10.3905/jpm.2016.42.2.064

Share This Article:

Tweet Widget Facebook Like

Jump to section

Article
Info & Metrics
PDF (Subscribers Only)
PDF (Subscribers Only)

Cited By...

From Risk Premia to Smart Betas: A Unified Framework
Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control
Long-Term Rewarded Equity Factors: What Can Investors Learn from Academic Research?

Google Scholar

Main menu

User menu

Search

The Journal of Portfolio Management

Diversified or Concentrated Factor Tilts?

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Similar Articles

Cited By...

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Diversified or Concentrated Factor Tilts?

Log in using your username and password

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Jump to section

Similar Articles

Cited By...

Stay Connected