Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach

Teo Jašić; Stoyan  Stoyanov; Dubravko Štimac

doi:10.3905/jpm.2020.1.189

Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach

Teo Jašić, Stoyan Stoyanov and Dubravko Štimac

The Journal of Portfolio Management Quantitative Special Issue 2021, jpm.2020.1.189; DOI: https://doi.org/10.3905/jpm.2020.1.189

Teo Jašić

is an associate lecturer at the chair of financial econometrics at Ludwig Maximilians University Munich in Munich, Germany

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Stoyan Stoyanov

is the equity research director at Charles Schwab Corp., in Chicago, IL

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Dubravko Štimac

is president of the management board of the PBZ Croatia Osiguranje D.D. Pension Fund Management Company in Zagreb, Croatia

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Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach

Teo Jašić, Stoyan Stoyanov, Dubravko Štimac

The Journal of Portfolio Management Nov 2020, jpm.2020.1.189; DOI: 10.3905/jpm.2020.1.189

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Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach

Teo Jašić, Stoyan Stoyanov, Dubravko Štimac

The Journal of Portfolio Management Nov 2020, jpm.2020.1.189; DOI: 10.3905/jpm.2020.1.189

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