Andreas Johansson

Stockholm School of Economics

PO Box 6501

Stockholm, 11383

Sweden

  • Stockholm School of Economics

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Smart Beta Made Smart: Synthetic Risk Factors for Institutional and Retail Investors

Swedish House of Finance Research Paper No. 20-21
Number of pages: 76 Posted: 24 Sep 2020 Last Revised: 16 Feb 2022
Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni
Stockholm School of Economics, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 875 (37,703)
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Smart beta, factor investing, tradable risk premia, shorting costs, borrowing fees

2.

Characterizing the Tail-Risk of Factor Mimicking Portfolios

Number of pages: 42 Posted: 30 Jun 2019 Last Revised: 07 Dec 2019
Andreas Johansson
Stockholm School of Economics
Downloads 79 (408,826)
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intertemporal dependency, risk factors, skewness, kurtosis, bootstrap