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- W1879666872 abstract "Quantitative asset managers construct and apply models that can be used for dynamic multifactor trading strategies. These models incorporate a number of common institutional constraints such as turnover, transaction costs, sector, and tracking error. Approaches for the evaluation of return premiums and risk characteristics to factors include portfolio sorts, factor models, factor portfolios, and information coefficients. Several techniques are used to combine several factors into a single model—a trading strategy. These techniques include data driven, factor model, heuristic, and optimization approaches.Keywords:tracking error;portfolio sorts;factor mimicking portfolio;Multicollinearity;information coefficient;earnings growth factor;Factor portfolios;factor-based trading strategy;data driven approach;heuristic approach;optimization approach;backtesting a strategy;cross-sectional factor models;one-step ahead" @default.
- W1879666872 created "2016-06-24" @default.
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- W1879666872 date "2012-12-15" @default.
- W1879666872 modified "2023-10-14" @default.
- W1879666872 title "Cross‐Sectional Factor‐Based Models and Trading Strategies" @default.
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- W1879666872 doi "https://doi.org/10.1002/9781118182635.efm0054" @default.
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