4.2 Article

What difference do new factor models make in portfolio allocation?

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Business, Finance

Model Comparison with Transaction Costs

Andrew Detzel et al.

Summary: Ignoring transaction costs can lead to biased results favoring high-cost factor models when evaluating asset pricing models. However, when accounting for transaction costs, the Fama and French five-factor model performs significantly better than alternative models such as the q-factor and six-factor models. Variations of the Fama and French five-factor model that consider cash profitability perform even better.

JOURNAL OF FINANCE (2023)

Article Business, Finance

Firm Characteristics and Empirical Factor Models: A Model Mining Experiment

Mary Tian

Summary: In a novel mining experiment, many randomly constructed three-factor models were found to outperform well-known four and five-factor models, suggesting the need to raise the threshold of factor model success. Confidence intervals derived from a bootstrap simulation offer new insights into the consistency of a model's pricing ability, with rankings for some well-known models being unusually volatile.

REVIEW OF FINANCIAL STUDIES (2021)

Article Business, Finance

Short- and Long-Horizon Behavioral Factors

Kent Daniel et al.

REVIEW OF FINANCIAL STUDIES (2020)

Article Business, Finance

Which Factors?

Kewei Hou et al.

REVIEW OF FINANCE (2019)

Article Business, Finance

Interpreting Factor Models

Serhiy Kozak et al.

JOURNAL OF FINANCE (2018)

Article Business, Finance

Comparing Asset Pricing Models

Francisco Barillas et al.

JOURNAL OF FINANCE (2018)

Article Business, Finance

Which Alpha?

Francisco Barillas et al.

REVIEW OF FINANCIAL STUDIES (2017)

Article Business, Finance

Mispricing Factors

Robert F. Stambaugh et al.

REVIEW OF FINANCIAL STUDIES (2017)

Article Business, Finance

Seeking Alpha? It's a Bad Guideline for Portfolio Optimization

Moshe Levy et al.

JOURNAL OF PORTFOLIO MANAGEMENT (2016)

Article Business, Finance

A Taxonomy of Anomalies and Their Trading Costs

Robert Novy-Marx et al.

REVIEW OF FINANCIAL STUDIES (2016)

Article Business, Finance

Dissecting Anomalies with a Five-Factor Model

Eugene F. Fama et al.

REVIEW OF FINANCIAL STUDIES (2016)

Article Business, Finance

Incremental variables and the investment opportunity set

Eugene F. Fama et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Article Business, Finance

A five-factor asset pricing model

Eugene F. Fama et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Article Business, Finance

Digesting Anomalies: An Investment Approach

Kewei Hou et al.

REVIEW OF FINANCIAL STUDIES (2015)

Article Business, Finance

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Victor DeMiguel et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2013)

Article Business, Finance

Dynamic Trading with Predictable Returns and Transaction Costs

Nicolae Garleanu et al.

JOURNAL OF FINANCE (2013)

Article Statistics & Probability

Vast Portfolio Selection With Gross-Exposure Constraints

Jianqing Fan et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2012)

Article Business, Finance

Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies

Jun Tu et al.

JOURNAL OF FINANCIAL ECONOMICS (2011)

Article Business, Finance

Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty

Jun Tu et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2010)

Article Business, Finance

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

Victor DeMiguel et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Optimal portfolio choice with parameter uncertainty

Raymond Kan et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2007)

Article Management

Performance of portfolios optimized with estimation error

Andrew F. Siegel et al.

MANAGEMENT SCIENCE (2007)

Article Business, Finance

Portfolio selection with parameter and model uncertainty: A multi-prior approach

Lorenzo Garlappi et al.

REVIEW OF FINANCIAL STUDIES (2007)

Article Business, Finance

A shrinkage approach to model uncertainty and asset allocation

ZY Wang

REVIEW OF FINANCIAL STUDIES (2005)

Article Business, Finance

Why constrain your mutual fund manager?

A Almazan et al.

JOURNAL OF FINANCIAL ECONOMICS (2004)

Article Business, Finance

Data-generating process uncertainty: What difference does it make in portfolio decisions?

J Tu et al.

JOURNAL OF FINANCIAL ECONOMICS (2004)

Article Business, Finance

Risk reduction in large portfolios: Why imposing the wrong constraints helps

R Jagannathan et al.

JOURNAL OF FINANCE (2003)

Article Business, Finance

Asset pricing models:: Implications for expected returns and portfolio selection

AC MacKinlay et al.

REVIEW OF FINANCIAL STUDIES (2000)

Article Business, Finance

Comparing asset pricing models:: an investment perspective

L Pástor et al.

JOURNAL OF FINANCIAL ECONOMICS (2000)