Concepedia

Multi-factor Portfolio Construction

Multi-Factor Portfolio Construction is a systematic investment framework that integrates multiple empirically validated risk factors—such as value, momentum, size, quality, and volatility—into a single portfolio design process, distinguished from single-factor or market-cap-weighted approaches by its aim to enhance risk-adjusted returns through diversified factor exposure and controlled factor interactions.

28

Publications

1.4K

Citations

62

Authors

37

Institutions

Publications per year

2017–2026

11

Parents

Publications

28

Toward Maximum Diversification

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

, , +16

Factor Investing in the Corporate Bond Market

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

, , +17

Approaching Mean-Variance Efficiency for Large Portfolios

Mengmeng Ao, Yingying Li, Xinghua Zheng · Review of Financial Studies · 2018 · 157 citations

, , +17

Volatility, Correlation, and Diversification in aMulti-Factor World

Richard Roll · The Journal of Portfolio Management · 2013 · 54 citations

, , +17

Investing with Momentum: <i>The Past, Present, and Future</i>

John B. Guerard, Ganlin Xu, Mustafa Gültekin · The Journal of Investing · 2012 · 53 citations

, , +17

1–5 of 28

Authors

62

  1. JB
    Jennifer Bender

    State Street (United States), United States

    3 publications · 39 citations

    3

    h-index

  2. PH
    Patrick Houweling

    Erasmus University Rotterdam, Netherlands

    2 publications · 187 citations

    2

    h-index

  3. XZ
    Xinghua Zheng

    Hong Kong University of Science and Technology, Hong Kong SAR China

    2 publications · 201 citations

    2

    h-index

  4. GX
    Ganlin Xu

    Capital University, United States

    2 publications · 77 citations

    2

    h-index

  5. YL
    Yingying Li

    Hong Kong University of Science and Technology, Hong Kong SAR China

    2 publications · 201 citations

    2

    h-index

1–5 of 62

Institutions

37

  1. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    2 h-index

    4 publications

    402 citations

  2. State Street (United States)

    Boston, United States

    2 h-index

    5 publications

    66 citations

  3. Xiamen University

    Xiamen, China

    2 h-index

    2 publications

    201 citations

  4. Tilburg University

    Tilburg, The Netherlands

    1 h-index

    2 publications

    24 citations

  5. Quantitative BioSciences

    Solana Beach, United States

    1 h-index

    1 publications

    165 citations

  6. University of Liège

    Liège, Belgium

    1 h-index

    3 publications

    45 citations

  7. Capital University

    Bexley, United States

    1 h-index

    1 publications

    53 citations

  8. Systematic (Netherlands)

    Delft, Netherlands

    1 h-index

    1 publications

    22 citations

1–8 of 37

Venues

  1. The Journal of Portfolio Management

    JPM · 6 publications · 642 citations

    6

    h-index

  2. SSRN Electronic Journal

    Repository · 4 publications · 100 citations

    4

    h-index

  3. The Journal of Investing

    3 publications · 104 citations

    3

    h-index

  4. The Journal of Index Investing

    JII · 2 publications · 28 citations

    2

    h-index

  5. Financial Analysts Journal

    FAJ · 2 publications · 180 citations

    2

    h-index

1–5