Asset Allocation and Factor Investing: An Integrated Approach
提出一个整合传统资产配置与因子投资的框架，旨在结合两者的优势并克服各自的局限，对寻求优化投资组合的投资者有参考价值。
The traditional approach to asset allocation is to identify the optimal allocation to broad asset classes based on assumptions for expected returns and risk. Increasingly, though, investors are choosing to stratify their portfolios into factors rather than traditional asset classes. Many investors, especially those who have qualitative views about macroeconomic factors, do not typically optimize exposure to factors based on explicit assumptions for return and risk. Instead, they pre-determine the appropriate factor exposures based on fundamental views and then identify combinations of assets that they perceive to capture the targeted factor exposures most effectively. Both approaches have their benefits and limitations. The authors propose a framework that integrates traditional asset allocation with factor investing in a way that emphasizes the benefits of each approach while helping to overcome their respective limitations. <b>TOPIC:</b>Portfolio construction