Efficient Factor Selection
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Efficient Factor Selection
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Author : Ronald J. Balvers
language : en
Publisher:
Release Date : 2018
Efficient Factor Selection written by Ronald J. Balvers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
An asset pricing model is customarily evaluated by how well it explains means of returns. But how well the model explains fluctuations of returns is similarly important though often overlooked in the literature. We derive “efficient” factors that combine both objectives and turn out to maximize average time-series (first-pass) R-square for given cross-sectional (second-pass) R-square. Efficient factors work better out of sample and even explain mean returns better than structural models. The reason is that structural models emphasize factors that as a group are close to the tangency portfolio. But this portfolio, by necessity, has relatively low variance that explains individual asset return fluctuations poorly and impedes factor identification. These findings explain many of the puzzling results in empirical asset pricing. Further, intended holding period becomes essential now for model evaluation and shorter holding periods require more emphasis on first-pass fit, which is another key issue overlooked in the literature.
Factor Investing
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Author : Emmanuel Jurczenko
language : en
Publisher: Elsevier
Release Date : 2017-10-17
Factor Investing written by Emmanuel Jurczenko and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-17 with Business & Economics categories.
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners
Shaping Digital Education Enabling Factors For Quality Equity And Efficiency
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Author : OECD
language : en
Publisher: OECD Publishing
Release Date : 2023-07-11
Shaping Digital Education Enabling Factors For Quality Equity And Efficiency written by OECD and has been published by OECD Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-11 with categories.
Investment in education technology has surged worldwide over the past decade and digital education technologies are now a key resource for OECD education and training systems. If used effectively, they promise to transform teaching and learning practices, to reduce learning inequalities and to create more inclusive and efficient education systems.
Factors Affecting Moisture Storage Efficiency Of Dryfarming Areas In The Great Plains
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Author : Henry Howard Finnell
language : en
Publisher:
Release Date : 1960
Factors Affecting Moisture Storage Efficiency Of Dryfarming Areas In The Great Plains written by Henry Howard Finnell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1960 with Soil moisture categories.
Country Asset Allocation
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2016-10-26
Country Asset Allocation written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.
This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Policy And Scale Factors Influencing Efficiency In Dairy And Poultry Production In Bangladesh
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Author :
language : en
Publisher: ILRI (aka ILCA and ILRAD)
Release Date : 2005-01-01
Policy And Scale Factors Influencing Efficiency In Dairy And Poultry Production In Bangladesh written by and has been published by ILRI (aka ILCA and ILRAD) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-01 with Dairy farms categories.
Two Factor Model For Bond Selection
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Author : Zhenmin Fang
language : en
Publisher:
Release Date : 1991
Two Factor Model For Bond Selection written by Zhenmin Fang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Bonds categories.
2014 International Conference On Computer Network
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Author :
language : en
Publisher: DEStech Publications, Inc
Release Date : 2014-03-12
2014 International Conference On Computer Network written by and has been published by DEStech Publications, Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-12 with Computers categories.
The objective of the 2014 International Conference on Computer, Network Security and Communication Engineering (CNSCE2014) is to provide a platform for all researchers in the field of Computer, Network Security and Communication Engineering to share the most advanced knowledge from both academic and industrial world, to communicate with each other about their experience and most up-to-date research achievements, and to discuss issues and future prospects in these fields. As an international conference mixed with academia and industry, CNSCE2014 provides attendees not only the free exchange of ideas and challenges faced by these two key stakeholders and encourage future collaboration between members of these groups but also a good opportunity to make friends with scholars around the word. As the first session of the international conference on CNSCE, it covers topics related to Computer, Network Security and Communication Engineering. CNSCE2014 has attracted many scholars, researchers and practitioners in these fields from various countries. They take this chance to get together, sharing their latest research achievements with each other. It has also achieved great success by its unique characteristics and strong academic atmosphere as well as its authority.
Generative Ai For Effective Software Development
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Author : Anh Nguyen-Duc
language : en
Publisher: Springer Nature
Release Date :
Generative Ai For Effective Software Development written by Anh Nguyen-Duc and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Irrigation Engineering
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Author : Vijay P. Singh
language : en
Publisher: Cambridge University Press
Release Date : 2022-07-07
Irrigation Engineering written by Vijay P. Singh and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-07 with Science categories.
Covering climate, soils, crops, water quality, hydrology, and hydraulics, this textbook offers a perfect overview of irrigation engineering.