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Active Factor Completion Strategies

Hubert Dichtl, Wolfgang Drobetz, Harald Lohre and Carsten Rother
The Journal of Portfolio Management Quantitative Special Issue 2021, 47 (2) 9-37; DOI: https://doi.org/10.3905/jpm.2020.1.193
Hubert Dichtl
is managing director at Dichtl Research & Consulting in Bad Soden, Germany, and a lecturer at the University of Hamburg in Hamburg, Germany
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Wolfgang Drobetz
is a professor of finance at the University of Hamburg in Hamburg, Germany
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Harald Lohre
is director of research at Invesco Quantitative Strategies in Frankfurt, Germany, a fellow of the Centre for Endowment Asset Management (CEAM), Cambridge Judge Business School, University of Cambridge, UK, and a visiting research fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP) at the Lancaster University Management School in Lancaster, UK
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Carsten Rother
is a research analyst at Invesco Quantitative Strategies in Frankfurt, Germany, and a doctoral student at the University of Hamburg in Hamburg, Germany
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Article Information

vol. 47 no. 2 9-37
DOI 
https://doi.org/10.3905/jpm.2020.1.193

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 4, 2021.

Article Versions

  • Latest version (November 17, 2020 - 19:48).
  • You are viewing the most recent version of this article.
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© 2020 Pageant Media Ltd

Author Information

  1. Hubert Dichtl
    1. is managing director at Dichtl Research & Consulting in Bad Soden, Germany, and a lecturer at the University of Hamburg in Hamburg, Germany. (dichtl{at}dichtl-rc.de)
  2. Wolfgang Drobetz
    1. is a professor of finance at the University of Hamburg in Hamburg, Germany. (wolfgang.drobetz{at}uni-hamburg.de)
  3. Harald Lohre
    1. is director of research at Invesco Quantitative Strategies in Frankfurt, Germany, a fellow of the Centre for Endowment Asset Management (CEAM), Cambridge Judge Business School, University of Cambridge, UK, and a visiting research fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP) at the Lancaster University Management School in Lancaster, UK. (harald.lohre{at}invesco.com)
  4. Carsten Rother
    1. is a research analyst at Invesco Quantitative Strategies in Frankfurt, Germany, and a doctoral student at the University of Hamburg in Hamburg, Germany. (carsten.rother{at}invesco.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Active Factor Completion Strategies
Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother
The Journal of Portfolio Management Dec 2020, 47 (2) 9-37; DOI: 10.3905/jpm.2020.1.193

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Active Factor Completion Strategies
Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother
The Journal of Portfolio Management Dec 2020, 47 (2) 9-37; DOI: 10.3905/jpm.2020.1.193
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  • Article
    • Abstract
    • THE CASE FOR MULTI-ASSET MULTI-FACTOR INVESTING
    • DIVERSIFIED RISK PARITY FOR MAXIMUM DIVERSIFICATION
    • FACTOR COMPLETION STRATEGIES
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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