Asset Management: A Systematic Approach to Factor Investing

By Robert M. Anderson. 2015

121 citations recorded by the source corpus.

Subfields: Strategy and Management

View Paper: https://www.semanticscholar.org/paper/cb1c999defa5aa1b80119a188b5c4d808fd410e2

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In Strategy and Management

1. Alan Moreira
2. Tyler Muir

Citations in the corpus

• Factor Investing in the Corporate Bond Market (2017, unknown): “A seminal study on this topic is that of Ang, Goetzmann and Schaefer (2009) who were asked by the Norwegian Government Pension Fund to analyze the fund’s performance.”
• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, background): “We have: |α1σ1 − α2σ2| = σ (−1) ≤ σ (ρ) ≤ σ (1) = α1σ1 + α2σ2 We notice that this result does not hold in the long-short case.”
• Volatility‐Managed Portfolios (2017, methodology): “In particular, a large empirical literature finds that the factors we use summarize the 8 See also Ang (2014) for an example of volatility timing using the Implied Volatility Index (VIX) for a shorter sample.”