Mean-Variance Investing with Factor Tilting

21 Pages Posted: 6 Jun 2019

See all articles by Claudio Boido

Claudio Boido

University of Siena

Antonio Fasano

Universita di Salerno

Date Written: May 28, 2019

Abstract

A number of investors and portfolio managers are increasing the presence of alternative assets in their portfolios to a level close to traditional assets, harbouring the new frontiers in asset management research, including new risk premia, alternative beta, multifactor models. We build an investment portfolio based on a combination of broad asset classes and selected investing factors. In this way, we can improve the Markowitzian optimization by tilting the asset allocation with manager expectations, taking advantage of factor lower volatility when compared to asset classes.

Keywords: Factor Investing, Factor Premiums, Smart Beta, Asset Allocation, Portfolio Optimization

JEL Classification: G11, G40

Suggested Citation

Boido, Claudio and Fasano, Antonio, Mean-Variance Investing with Factor Tilting (May 28, 2019). Available at SSRN: https://ssrn.com/abstract=3395528 or http://dx.doi.org/10.2139/ssrn.3395528

Claudio Boido (Contact Author)

University of Siena ( email )

Via Banchi di Sotto, 55
siena, 53100
Italy
0577232669 (Phone)

Antonio Fasano

Universita di Salerno ( email )

Via Giovanni Paolo II, 132
Fisciano, Salerno 84084
Italy

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