Antonio Picca

Goldman Sachs Group, Inc.

85 Broad Street

New York, NY 10004

United States

SCHOLARLY PAPERS

4

DOWNLOADS

1,139

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

How Inefficient is the 1/N Strategy for a Factor Investor?

Forthcoming, Journal of Investment Management
Number of pages: 26 Posted: 09 Jan 2023
Kevin Khang, Antonio Picca, Shaojun Zhang and Minzhi Zhu
The Vanguard Group, Inc., Goldman Sachs Group, Inc., The Ohio State University and The Vanguard Group, Inc.
Downloads 608 (83,630)
Citation 1

Abstract:

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Asset Allocation; Factor Investing; Portfolio Construction; Portfolio Optimization

2.

The Impact of Sovereign Shocks

Number of pages: 46 Posted: 17 Nov 2014 Last Revised: 03 Dec 2018
Gerardo Manzo and Antonio Picca
Independent and Goldman Sachs Group, Inc.
Downloads 531 (99,165)
Citation 7

Abstract:

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Systemic Risk, Contagion Risk, Banking Risk, Sovereign Risk, Fiscal Fragility, Narrative Approach

3.

Waiting for the Next Factor Wave: Daily Rebalancing around Market Cycle Transitions

The Journal of Portfolio Management Quantitative Special Issue 2021, 47 (2) 127-144; DOI: https://doi.org/10.3905/jpm.2020.47.2.127
Posted: 08 Feb 2023
Antonio Picca and Kevin Khang
Goldman Sachs Group, Inc. and The Vanguard Group, Inc.

Abstract:

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Analysis of individual factors/risk premia, factor-based models, factors, risk premia

4.

Dividend Risk and the Cross-Section of Equity Risk Premia

Posted: 30 Nov 2014
Antonio Picca
Goldman Sachs Group, Inc.

Abstract:

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equity risk premium, dividend prices, payout policy, asset pricing models