Concepedia

Factor-based Asset Allocation

Factor-Based Asset Allocation is a portfolio construction methodology that systematically allocates capital to investments based on exposure to specific empirically validated risk factors—such as value, momentum, size, or volatility—rather than to traditional asset classes, thereby aiming to enhance risk-adjusted returns through targeted factor premiums.

89

Publications

2.9K

Citations

217

Authors

142

Institutions

Publications per year

2017–2026

36

Parents

Publications

89

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Yufeng Han · Review of Financial Studies · 2005 · 237 citations

, , +17

Big data application, factor allocation, and green innovation in Chinese manufacturing enterprises

Qiang Gao, Changming Cheng, Guanglin Sun · Technological Forecasting and Social Change · 2023 · 177 citations

, , +17

Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

Jianqing Fan, Alex Furger, Dacheng Xiu · Journal of Business and Economic Statistics · 2015 · 166 citations

, , +14

Factor Investing in the Corporate Bond Market

Patrick Houweling, Jeroen van Zundert · Financial Analysts Journal · 2017 · 165 citations

, , +17

Property portfolio allocation: A multi‐factor model

Gerald F. Blundell, C.W.R. Ward · Land Development Studies · 1987 · 122 citations

, , +13

1–5 of 89

Authors

217

  1. JC
    Jason C. Hsu

    University of California, Los Angeles, United States

    4 publications · 76 citations

    5

    h-index

  2. JB
    Jennifer Bender

    State Street (United States), United States

    4 publications · 62 citations

    4

    h-index

  3. VK
    Vitali Kalesnik

    Healthcentric Advisors, United States

    4 publications · 80 citations

    4

    h-index

  4. FL
    Feifei Li

    University of California, Los Angeles, United States

    2 publications · 42 citations

    3

    h-index

  5. HL
    Harald Lohre

    Lancaster University, United Kingdom

    2 publications · 60 citations

    3

    h-index

1–5 of 217

Institutions

142

  1. University of California, Los Angeles

    Los Angeles, United States

    5 h-index

    4 publications

    72 citations

  2. National Bureau of Economic Research

    Cambridge, United States

    4 h-index

    4 publications

    102 citations

  3. Universität Hamburg

    Hamburg, Germany

    4 h-index

    7 publications

    218 citations

  4. State Street (United States)

    Boston, United States

    3 h-index

    6 publications

    89 citations

  5. Aarhus University

    Aarhus, Denmark

    3 h-index

    3 publications

    67 citations

  6. Texas Christian University

    Fort Worth, United States

    2 h-index

    3 publications

    37 citations

  7. Vrije Universiteit Brussel

    Brussels, Belgium

    2 h-index

    2 publications

    60 citations

  8. BlackRock (United States)

    New York, United States

    2 h-index

    3 publications

    95 citations

1–8 of 142

Venues

  1. SSRN Electronic Journal

    Repository · 18 publications · 456 citations

    13

    h-index

  2. The Journal of Portfolio Management

    JPM · 14 publications · 311 citations

    11

    h-index

  3. Financial Analysts Journal

    FAJ · 5 publications · 323 citations

    5

    h-index

  4. The Journal of Investing

    5 publications · 101 citations

    5

    h-index

  5. The Journal of Index Investing

    JII · 4 publications · 61 citations

    4

    h-index

1–5