Reconciling Stock Selection and Factor Allocation
证明，基于因子预期收益自下而上选股与自上而下配置因子组合这两种多因子组合构建方法，在均值-方差优化下基本等价，并在严格投资约束下仍成立。
This article contributes to the longstanding debate about the relative merits of building multifactor portfolios using a bottom-up approach, informed by factor-based expected returns, and a top-down approach that allocates across factor portfolios. Its main contribution is to prove formally that the solution of the mean–variance optimization solved by a stock picker who uses factors to select securities and that of a mean–variance-efficient allocation across factors are in fact largely equivalent. This finding is corroborated empirically and holds under stringent investment constraints. Moreover, while demonstrating this equivalence, an alternative methodology emerges that makes the best of both approaches.