Robust Factor-Based Investing
综述了稳健因子投资策略的理论、实证和实践，帮助资产管理者在输入估计不准确时仍能构建稳定的投资组合。
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. <b>TOPICS:</b>Statistical methods, analysis of individual factors/risk premia, portfolio theory