Multifactor portfolio construction by factor risk parity strategies: an empirical comparison of global stock markets
Hidehiko Shimizu,Takayuki Shiohama
| Year of publication: |
2019
|
|---|---|
| Authors: | Shimizu, Hidehiko ; Shiohama, Takayuki |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 26.2019, 4, p. 453-477
|
| Subject: | Factor investing | Multifactor portfolio | Risk-based asset allocation | Risk parity | Smart beta | Portfolio-Management | Portfolio selection | CAPM | Risiko | Risk | Risikoprämie | Risk premium | Risikomanagement | Risk management | Betafaktor | Beta risk | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-019-09274-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012309815