Vincent Zoonekynd

Abu Dhabi Investment Authority

211 Corniche Road

Abu Dhabi, Abu Dhabi PO Box3600

United Arab Emirates

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Why has Factor Investing Failed?: The Role of Specification Errors

Number of pages: 34 Posted: 18 Jan 2024 Last Revised: 10 Jun 2024
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Abu Dhabi Investment Authority
Downloads 4,477 (4,228)

Abstract:

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Causal inference, causal discovery, confounder, collider, factor investing, p-hacking, underperformance, systematic losses. JEL Classification: G0, G1, G2, G15, G24, E44. AMS Classification: 91G10, 91G60, 91G70, 62C, 60E

2.

Equity Machine Factor Models

Number of pages: 12 Posted: 27 Dec 2022
Miquel Noguer i Alonso and Vincent Zoonekynd
Artificial Intelligence in Finance Institute and Abu Dhabi Investment Authority
Downloads 2,582 (10,282)

Abstract:

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machine learning, xgboost, Neural networks, portfolio optimization

3.

The Case for Causal Factor Investing

Number of pages: 16 Posted: 15 Apr 2024
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, Hebrew University of Jerusalem and Abu Dhabi Investment Authority
Downloads 828 (56,390)

Abstract:

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Causal inference, causal discovery, confounder, collider, factor investing, p-hacking, underperformance, systematic losses.

4.

Why Has Factor Investing Failed? (Seminar Slides)

Number of pages: 39 Posted: 16 Apr 2024
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Abu Dhabi Investment Authority
Downloads 611 (83,455)

Abstract:

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G0, G1, G2, G15, G24, E44