Factors to Assets: Mapping Factor Exposures to Asset Allocations
提出一种方法，在因子数量少于资产类别时，将给定的因子暴露映射到一组资产类别，并考虑杠杆、头寸限制、流动性等实际约束，找到与目标因子暴露距离最小的资产组合。
The authors develop a methodology that maps a given set of factor exposures to a group of asset classes. When there are fewer factors than asset classes, which is the case in most practical situations, the mapping is not unique. The authors show how one can express a given set of factor exposures as a particular combination of assets subject to real-world investor preferences and constraints: leverage, minimum and maximum asset class positions, illiquid versus liquid proportions, active risk, turnover, and other constraints. Formally, the authors find the set of asset classes that has the minimum distance in terms of factor exposures from the desired set, subject to these constraints. <b>TOPICS:</b>Analysis of individual factors/risk premia, options, other real assets