Factor-Based Portfolio Models is a class of asset allocation frameworks that identifies and exploits systematic risk factors—such as value, size, momentum, and volatility—as the primary drivers of portfolio returns, distinguishing it from traditional diversification approaches by emphasizing exposure to empirically persistent sources of excess return.
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Andrea Frazzini, Lasse Heje Pedersen · Journal of Financial Economics · 2013 · 2K citations · Full text
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National Bureau of Economic Research
Cambridge, United States
28 h-index
66 publications
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Ecole des Hautes Etudes Commerciales du Nord
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Centre for Economic Policy Research
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New York, United States
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Repository · 148 publications · 6K citations
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20 publications · 7K citations
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FAJ · 15 publications · 2K citations
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