Concepedia

Factor-based Portfolio Optimization

Factor-Based Portfolio Optimization is a portfolio optimization framework that systematically constructs and manages investment portfolios by explicitly incorporating factor exposures—such as value, momentum, or volatility—as the primary drivers of risk and return, distinguishing it from classical mean-variance or purely empirical approaches.

94

Publications

5K

Citations

209

Authors

146

Institutions

Publications per year

2017–2026

30

Parents

Publications

94

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm, Reha Tütüncü, Frank J. Fabozzi · European Journal of Operational Research · 2013 · 633 citations

, , +15

Universal Portfolios

Thomas M. Cover · Mathematical Finance · 1991 · 572 citations

, , +14

Toward Maximum Diversification

Yves Choueifaty, Yves Coignard · The Journal of Portfolio Management · 2008 · 529 citations

, , +16

Minimum-Variance Portfolios in the U.S. Equity Market

Roger Clarke, Harindra de Silva, Steven Thorley · The Journal of Portfolio Management · 2006 · 392 citations

, , +17

Cluster analysis for portfolio optimization

Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati et al. · Journal of Economic Dynamics and Control · 2007 · 283 citations

, , +14

1–5 of 94

Authors

209

  1. HD
    Harindra de Silva

    Brigham Young University, United States

    4 publications · 483 citations

    4

    h-index

  2. RC
    Roger Clarke

    Australian National University, Australia

    4 publications · 483 citations

    4

    h-index

  3. HM
    Harry M. Markowitz

    University of California San Diego, United States

    4 publications · 282 citations

    4

    h-index

  4. ST
    Steven Thorley

    Brigham Young University, United States

    3 publications · 444 citations

    3

    h-index

  5. RA
    Robert A. Stubbs

    Axiom (United States), United States

    3 publications · 65 citations

    3

    h-index

1–5 of 209

Institutions

146

  1. SV Health Investors (United States)

    Boston, United States

    4 h-index

    7 publications

    254 citations

  2. Ecole des Hautes Etudes Commerciales du Nord

    Roubaix, France

    3 h-index

    3 publications

    666 citations

  3. Universität Hamburg

    Hamburg, Germany

    3 h-index

    6 publications

    184 citations

  4. BlackRock (United States)

    New York, United States

    3 h-index

    6 publications

    166 citations

  5. Axiom (United States)

    Westmont, United States

    2 h-index

    5 publications

    122 citations

  6. Jacobs Levy Equity Management

    Florham Park, United States

    2 h-index

    4 publications

    338 citations

  7. Brigham Young University

    Provo, United States

    2 h-index

    2 publications

    433 citations

  8. The University of Osaka

    Osaka, Japan

    2 h-index

    2 publications

    111 citations

1–8 of 146

Venues

  1. The Journal of Portfolio Management

    JPM · 14 publications · 1.2K citations

    12

    h-index

  2. SSRN Electronic Journal

    Repository · 9 publications · 193 citations

    9

    h-index

  3. Financial Analysts Journal

    FAJ · 4 publications · 189 citations

    4

    h-index

  4. European Journal of Operational Research

    3 publications · 717 citations

    3

    h-index

  5. The Journal of Investing

    3 publications · 73 citations

    3

    h-index

1–5