Use of Factors as Potential Components in the Portfolio Construction | Vestnik Tomskogo gosudarstvennogo universiteta. Ekonomika – Tomsk State University Journal of Economics. 2020. № 51. DOI: 10.17223/19988648/51/10

Use of Factors as Potential Components in the Portfolio Construction

The article considers the application of factor investing in the formation of an investment portfolio. Five general factors (momentum, size, low volatility, value, quality), as well as the theory underlying them, are identified; their efficiency and cyclicality over time are shown; the potential benefits of investing in factor strategies are identified. The aim of the work was to provide a broad overview of factor investing as a framework that includes decision-making about impact factors in the portfolio formation process. The article concludes with the main provisions of factor investing.

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Keywords

портфельные инвестиции, факторное инвестирование, факторы, инвестиционные стратегии, модель CAPM, factors, factor investing, portfolio investments, investment strategies, CAPM model

Authors

Name	Organization	E-mail
Mishin Andrey A.	Vladimir State University	and-mishin@gmail.com

Всего: 1

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