Total Portfolio Factor, Not Just Asset, Allocation
提出一个跨整体组合的战略因子配置框架，通过测量所有资产的因子暴露、确定最优因子暴露并选择最佳资产组合，帮助投资者实现更好的风险收益权衡。
In this article, the authors present a strategic factor allocation framework across the total portfolio with the motivation of reframing asset allocation decisions along factor dimensions. There are three parts to this factor, not just asset, allocation framework: (1) measuring the factor exposures across all assets, with an emphasis on consistent treatment for liquid and illiquid markets; (2) determining optimal factor exposures based on criteria unique to each investor; and (3) determining the best mix of assets to implement a desired set of factor exposures subject to investor constraints. The authors emphasize the potential benefits of explicit diversification across factors and demonstrate modifications to typical institutional portfolios in factor space that can result in superior risk-return trade-offs. <b>TOPICS:</b>Analysis of individual factors/risk premia, portfolio construction