Robust Factor-Based Investing

Jang Ho Kim; Woo Chang Kim; Frank J. Fabozzi

doi:10.3905/jpm.2017.43.5.157

Robust Factor-Based Investing

Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi

The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 157-164; DOI: https://doi.org/10.3905/jpm.2017.43.5.157

Jang Ho Kim

is an assistant professor in the Department of Industrial and Management Systems Engineering at Kyung Hee University in Seoul, Republic of Korea.

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For correspondence: janghokim@khu.ac.kr

Woo Chang Kim

is an associate professor in the Department of Industrial and Systems Engineering at Korea Advanced Institute of Science and Technology (KAIST) in Daejeon, Republic of Korea.

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For correspondence: wkim@kaist.ac.kr

Frank J. Fabozzi

is a professor of finance at EDHEC Business School in Nice, France.

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For correspondence: frank.fabozzi@edhec.edu

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Robust Factor-Based Investing