Factor-Investing and Asset Allocation Strategies

24.08.2021

Empirical Capital Market Research, Risk & Optimization

Abstract

Factor investing has experienced enormous growth in recent years.
In the following article, Prof. Dr. Wolfgang Bessler,
Dr. Georgi Taushanov and Dr. Dominik Wolff investigate whether factor based
allocation strategies offer investors better portfolio performance than traditional sector allocations.
than traditional sector allocations. In the process
the performance and the performance differences of sector and
factor portfolios for different allocation strategies and portfolio optimization
optimization approaches are analyzed.