This is a summary of links featured on Quantocracy on Sunday, 01/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Purifying Factor Premiums in Equity Markets [Quantpedia]In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture factor premiums with the appropriate levels of risk controls aiming at increasing information ratios. We