Committee login






Small thumbnail

Reliability Investigation of LED Devices for Public Light Applications

Durability, Robustness and Reliability of Photonic Devices Set

Small thumbnail

Aerospace Actuators 2

Signal-by-Wire and Power-by-Wire

Small thumbnail

Flash Memory Integration

Performance and Energy Considerations

Small thumbnail

Mechanics of Aeronautical Solids, Materials and Structures

Small thumbnail

Engineering Investment Process

Making Value Creation Repeatable

Small thumbnail

Space Strategy

Small thumbnail

Distributed Systems

Concurrency and Consistency

Small thumbnail

Fatigue of Textile and Short Fiber Reinforced Composites

Durability and Ageing of Organic Composite Materials Set – Volume 1

Small thumbnail

Management of the Effects of Coastal Storms

Policy, Scientific and Historical Perspectives

Small thumbnail

Computational Color Science

Variational Retinex-like Methods

Small thumbnail

Risk-Based and Factor Investing

Quantitative Finance Set

Edited by Emmanuel Jurczenko, Ecole Hôtelière de Lausanne, Switzerland

ISBN: 9781785480089

Publication Date: November 2015   Hardback   486 pp.

235.00 USD

Add to cart




This book is a collection of exclusive new articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI).
The articles introduce readers to some of the latest, cutting-edge research encountered by academics and professionals dealing with alternative non-return based portfolio construction techniques and quantitative investment risk premia strategies.
Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the “science and art” of risk-based and factor investing.


1. Advances in Portfolio Risk Control, Winfried G. Hallerbach.
2. Smart Beta: Managing Diversification of Minimum Variance Portfolios, Jean-Charles Richard and Thierry Roncalli.
3. Trend-Following, Risk-Parity and the Influence of Correlations, Nick Baltas.
4. Diversifying Risk Parity: In Today, Out Tomorrow? Harald Lohre, Heiko Opfer and Gábor Ország
5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions, Serge Darolles, Christian Gourieroux and Emmanuelle Jay.
6. Risk-Based Investing but What Risk(s)? Emmanuel Jurczenko and Jérôme Teiletche
7. Target Volatility, Bernd Scherer.
8. Smart Beta Equity Investing Through Calm and Storm, Kris Boudt, Joakim Darras, Giang Ha Nguyen and Benedict Peeters.
9. Solving the Rebalancing Premium Puzzle, Vladyslav Dubikovskyy and Gabriele Susinno.
10. Smart Betas: Theory and Construction, Attilio Meucci.
11. Low-Risk Anomaly Everywhere: Evidence from Equity Sectors, Raul Leote De Carvalho, Majdouline Zakaria, Xiao Lu and Pierre Moulin.
12. The Low Volatility Anomaly and the Preference for Gambling, Jason C. Hsu and Vivek Viswanathan.
13. The Low Beta Anomaly and Interest Rates, Ed Fishwick and Steve Satchell.
14. Factoring Profitability, Lisa R. Goldberg, Ran Leshem and Michael Branch.
15. Deploying Multi-Factor Index Allocations in Institutional Portfolios, Jennifer Bender, Remy Briand, Dimitris Melas, Raman Aylur Subramanian and Madhu Subramanian.
16. Defining the Equity Premium, a Framework, Yves Choueifaty and Christophe Roehri.
17. Designing Multi-Factor Equity Portfolios, Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini and Eric Shirbini.
18. Factor Investing and Portfolio Construction Techniques, Yin Luo and Spyros Mésomeris.
19. Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios, Jennifer Bender and Taie Wang.
20. Statistical Overfitting and Backtest Performance, David H. Bailey, Stephanie Ger, Marcos Lopez De Prado and Alexander Sim.

About the Authors

Emmanuel Jurczenko is Professor of Finance and Associate Dean at Ecole Hôtelière de Lausanne in Switzerland. He has published several articles in academic journals, edited books, and serves as a referee in several international leading journals. His research focuses on risk budgeting, factor-based investing and alternative investments.


DownloadTable of Contents - PDF File - 172 Kb

Related Titles

0.02175 s.