Factor Investing Using Capital Market Assumptions

Redouane Elkamhi, Jacky S. H. Lee and Marco Salerno
The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 119-143; DOI: https://doi.org/10.3905/jpm.2021.1.291

Article Information

vol. 48 no. 2 119-143
DOI 
https://doi.org/10.3905/jpm.2021.1.291
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 3, 2022.

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© 2021 Pageant Media Ltd

Author Information

  1. Redouane Elkamhi
    1. is an associate professor of finance in the Rotman School of Management at the University of Toronto in Toronto, Ontario, Canada. (redouane.elkamhi{at}rotman.utoronto.ca)
  2. Jacky S. H. Lee
    1. is vice president, total portfolio, at the Healthcare of Ontario Pension Plan Trust Fund in Toronto, Ontario, Canada. (jlee5{at}hoopp.com)
  3. Marco Salerno
    1. is a Ph.D. candidate in finance at the Rotman School of Management at the University of Toronto in Toronto, Ontario, Canada. (marco.salerno{at}rotman.utoronto.ca)
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Factor Investing Using Capital Market Assumptions
Redouane Elkamhi, Jacky S. H. Lee, Marco Salerno
The Journal of Portfolio Management Dec 2021, 48 (2) 119-143; DOI: 10.3905/jpm.2021.1.291
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