Factor Investing Using Capital Market Assumptions

Redouane Elkamhi; Jacky S. H. Lee; Marco Salerno

doi:10.3905/jpm.2021.1.291

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

Redouane Elkamhi

is an associate professor of finance in the Rotman School of Management at the University of Toronto in Toronto, Ontario, Canada

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Jacky S. H. Lee

is vice president, total portfolio, at the Healthcare of Ontario Pension Plan Trust Fund in Toronto, Ontario, Canada

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Marco Salerno

is a Ph.D. candidate in finance at the Rotman School of Management at the University of Toronto in Toronto, Ontario, Canada

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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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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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