Feb 28 2023

Time Series Variation in the Factor Zoo

published by Cyril Dujava
in blog QuantPedia
original entryTime Series Variation in the Factor Zoo

equity long short factor allocation factor investing smart beta stock picking uncategorized

Factor investing and detailed allocation according to different sets of factors are lively researched topics with many unanswered and open questions. Many views are often conflicting and from both radical sides — on one, that only a few factors should be necessary to explain the cross-section of mean returns, which is attractive, especially because of its simplicity; on the other, that you can...