Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

Melas Dimitris

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Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

机译：因子分配模型：将因子模型和策略集成到资产分配过程中

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Factors are the underlying forces that drive portfolio risk and performance over different investment horizons. In this article, first the author reviews the theoretical foundations and practical applications of factor models. The author then discusses the integration of factors into different types of investment strategies. He concludes with a discussion of how factor models and strategies enable investors to manage total portfolio risk and capture risk premiums through the asset allocation process.

机译：因素是在不同的投资视野上推动投资组合风险和性能的潜在力量。在本文中，首先作者审查了因素模型的理论基础和实际应用。然后，作者讨论了对不同类型的投资策略的因素的整合。他讨论了因子模型和战略如何使投资者能够通过资产分配过程管理投资者来管理总投资组合风险并捕获风险保费。

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《The Journal of Portfolio Management》 |2021年第5期|51-57|共7页
作者
Melas Dimitris;
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MSCI London England;

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3. Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation [J] . Thomas M. Idzorek, Maciej Kowara Financial Analysts Journal . 2013,第3期

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4. STRATEGIC ASSET ALLOCATION WITH FACTOR MODELS FOR RETURNS AND GARCH MODELS FOR VOLATILITIES [C] . Florian Herzog, Gabriel Dondi, Hans P. Geering Modelling, Simulation, and Optimization . 2004

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7. Views, Factor Models and Optimal Asset Allocation [O] . van der Schans Martin, Steehouwer Hens 2015

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Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

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