This is a summary of links featured on Quantocracy on Friday, 11/30/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Research Review | 30 November 2018 | Risk Factors [Capital Spectator]Factor Investing: Get Your Exposures Right! Franois Soup (BNP Paribas Asset Management), et al. October 26, 2018 This paper is devoted to the question of optimal portfolio construction for equity factor investing. The first part of the paper focusses on how to make sure that a given equity portfolio has the targeted factor exposures, even before imposing any constraints. We show that such