RT Journal Article
SR Electronic
T1 Robust Factor-Based Investing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 157
OP 164
DO 10.3905/jpm.2017.43.5.157
VO 43
IS 5
A1 Jang Ho Kim
A1 Woo Chang Kim
A1 Frank J. Fabozzi
YR 2017
UL https://pm-research.com/content/43/5/157.abstract
AB In quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies.TOPICS: Statistical methods, analysis of individual factors/risk premia, portfolio theory