Journal of Portfolio Management · VOL43., NO. 5 · Special Issue 2017

稳健的因子投资

作者：JH Kim（Kyung Hee University in Seoul）

WC Kim（Korea Advanced Institute of Science and Technology (KAIST) in Daejeon）

FJ Fabozzi（EDHEC Business School in Nice）

摘要：在定量投资组合管理中，将优化与估计结合起来会引起资产管理人员的担忧，因为投资组合问题可能对其输入变量的偏差很敏感，而获得准确的输入变量又是一项困难的任务。稳健的因子模型通过使用因子模型来评估资产回报，以及用最坏情况方法评估投资组合的收益稳定性解决了这一担忧。最近关于稳健因子投资的研究探索了将因子纳入稳健的投资组合构建的方法。在本文中，作者提供了一项调查，其中包括理论见解、来自历史数据的实证研究结果，以及从业人员在制定和执行稳健的因子投资策略方面的经验。

Robust Factor-Based Investing

JH Kim（Kyung Hee University in Seoul）；WC Kim（Korea Advanced Institute of Science and Technology (KAIST) in Daejeon）；FJ Fabozzi（EDHEC Business School in Nice）

ABSTRACT

In quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies.

原文链接：

https://www.researchgate.net/publication/226244827_Linking_Momentum_Strategies_with_Single-Period_Portfolio_Models

翻译：黄涛