Zélia Cazalet

Lyxor Asset Management

Paris

France

  • Lyxor Asset Management

SCHOLARLY PAPERS

2

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9

Scholarly Papers (2)

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1.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 4,189 (3,744)
Citation 10

Abstract:

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Factor investing, risk premium, CAPM, risk factor model, anomaly, size, value, momentum, low beta, quality, volatility, idiosyncratic risk, liquidity, carry, mutual funds, hedge funds, alternative beta, strategic asset allocation

2.

The Smart Beta Indexing Puzzle

https://doi.org/10.3905/jii.2014.5.1.097
Posted: 22 May 2019
Zélia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management

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Smart beta, risk-based indexing, minimum variance portfolio, risk parity, equally weighted portfolio, equal risk contribution portfolio, diversification, low beta anomaly, low volatility anomaly, tracking error, liquidity