Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.101438
Abstract: Abstract In this study, we investigate risk-based asset allocation approaches for factor investing strategies by constructing a multifactor portfolio based on the inverse weighting method. We propose the inverse factor volatility (IFV) strategy, which is… read more here.
Keywords: factor volatility; risk based; based asset; inverse factor ... See more keywords