Zélia Cazalet

Lyxor Asset Management

Paris

France

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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 3,167 (3,236)

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

Posted: 22 May 2019
Zélia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management

Abstract:

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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