From Risk Premia to Smart Betas: A Unified Framework
提出了一个灵活的自适应框架，用于构建一系列仅做多的聪明贝塔投资组合，在保留原始风险溢价信息的同时，满足不同约束条件，适合受卖空限制的投资者。
In this article, the authors provide a flexible and adaptive framework that allows one to construct a suite of long-only smart beta portfolios over a spectrum of risk characteristics, subject to different constraints, while preserving as much of the information in the original risk premia as possible. In their opinion, smart beta portfolios constructed according to the proposed framework represent theoretically efficient implementations of risk premia for investors who face constraints on short-selling or other restrictions on portfolio construction. <b>TOPICS:</b>Analysis of individual factors/risk premia, risk management, portfolio construction