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Asset Management: A Systematic Approach to Factor Investing
3 references·13 citing·47 second hop
Asset Management: A Systematic Approach to Factor Investing (2014)Asset Management: A Systematic Approach t…Asset Management (2014)Asset ManagementUnconventional Success: A Fundamental Approach to Personal Investment (2005)Unconventional Success: A Fun…Liabilities— A New Approach (1990)Liabilities— A New ApproachConstruction of stock portfolios based on k-means clustering of continuous trend features (2022)Construction of stock portfol…Factors and risk premia in individual international stock returns (2021)Factors and risk premia in in…Intangible Value (2020)Intangible ValueDissecting the idiosyncratic volatility anomaly (2020)Dissecting the idiosyncratic …Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry (2019)Which is the best: A comparis…Sustainable Factor Investing: Where Doing Well Meets Doing Good (2019)Sustainable Factor Investing:…An Accounting-Based Asset Pricing Model and a Fundamental Factor (2019)An Accounting-Based Asset Pri…A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs (2019)A Non-Elliptical Orthogonal G…Cross-Sectional Alpha Dispersion and Performance Evaluation (2018)Cross-Sectional Alpha Dispers…Socially responsible investment portfolios: Does the optimization process matter? (2017)Socially responsible investme…Deposit Insurance Systems (2017)Deposit Insurance SystemsThe Asset Manager’s Dilemma: How Smart Beta Is Disrupting the Investment Management Industry (2016)The Asset Manager’s Dilemma: …Are investors really home-biased when investing at home? (2016)Are investors really home-bia…The arbitrage theory of capital asset pricing (1976)Neglected risks, financial innovation, and financial fragility (2011)The Innovator's Dilemma (2011)Fundamentals of Efficient Factor Investing (corrected May 2017) (2016)Transaction Costs of Factor-Investing Strategies (2019)Factor investing and asset allocation strategies: a comparison of factor versus sector optimization (2021)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)No More Excuses! Performance of ESG Integrated Portfolios in Australia (2018)An industry-guided review of responsible investing: Bridging the divide between academia and industry (2022)Determinants of corporate credit ratings: Does ESG matter? (2024)PORTFOLIO SELECTION* (1952)The pyramid of corporate social responsibility: Toward the moral management of organizational stakeholders (1991)A Stakeholder Framework for Analyzing and Evaluating Corporate Social Performance (1995)Corporate Social Responsibility Reporting: The Last 40 Years and a Path to Sharing Future Insights (2020)Incorporating environmental and social considerations into the portfolio optimization process (2020)Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain (2021)Risk Taking by Mutual Funds as a Response to Incentives (1997)Costly Search and Mutual Fund Flows (1998)Measuring Economic Policy Uncertainty* (2016)Insolvency regimes and firms' default risk under economic uncertainty and shocks (2020)Picking funds with confidence (2020)Mutual fund performance persistence: Factor models and portfolio size (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Analysis of Panel Data (2003)Estimation of Large Dimensional Conditional Factor Models in Finance (2019)When do investors go green? Evidence from a time-varying asset-pricing model (2023)Drawing up the bill: Are ESG ratings related to stock returns around the world? (2025)Dividend Policy, Growth, and the Valuation of Shares (1961)An Intertemporal Capital Asset Pricing Model (1973)A five-factor asset pricing model (2014)Asset pricing on earnings announcement days (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Attention based adaptive spatial–temporal hypergraph convolutional networks for stock price trend prediction (2023)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Insurance: Mathematics and Economics (2013)Gender differences in financial risk tolerance (2017)Household Finance (2006)Pension Fund Performance and Costs: Small is Beautiful (2007)The Efficient-Market Hypothesis and the Financial Crisis (2011)Risk parity portfolios with risk factors (2015)When Do Theories Become Self-Fulfilling? Exploring the Boundary Conditions of Performativity (2017)Option Return Predictability (2021)
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References

  • 1990Liabilities— A New Approach340 cited
  • 2014Asset Management250 cited
  • 2005Unconventional Success: A Fundamental Approach to Personal Investment92 cited

Cited by

  • 2017Socially responsible investment portfolios: Does the optimization process matter?99 cited
  • 2021Factors and risk premia in individual international stock returns72 cited
  • 2018Cross-Sectional Alpha Dispersion and Performance Evaluation57 cited
  • 2016The Asset Manager’s Dilemma: How Smart Beta Is Disrupting the Investment Management Industry54 cited
  • 2019Sustainable Factor Investing: Where Doing Well Meets Doing Good52 cited
  • 2022Construction of stock portfolios based on k-means clustering of continuous trend features46 cited
  • 2019An Accounting-Based Asset Pricing Model and a Fundamental Factor41 cited
  • 2019Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry39 cited
  • 2020Intangible Value31 cited
  • 2019A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs25 cited
  • 2020Dissecting the idiosyncratic volatility anomaly23 cited
  • 2017Deposit Insurance Systems

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21 cited
  • 2016Are investors really home-biased when investing at home?21 cited