Designing macro factors for portfolio choice
Lead Research Organisation:
Lancaster University
Department Name: Accounting & Finance
Abstract
The recent asset pricing literature seeks to explain the cross-section of many asset classes in terms
of style factors such as value and momentum, leading to the new investment paradigm of factorbased
investing. From a top down perspective, investors should be most concerned about shocks
in macro factors such as growth or inflation that ultimately govern the pricing of broad asset classes.
Yet, there has been little research into modeling and managing such macro factors in a way that
investors' portfolio choice ultimately results in feasible portfolio allocations. This research project
aims to thoroughly address modeling macroeconomic factors against this objective and to
ultimately guide the design of portfolio allocations that can to serve various investors needs.
As such we will further the academic profession's understanding of the underlying economic
mechanism and provide the investment management industry with guideposts to efficiently
navigate and harvest macro factor premia.
of style factors such as value and momentum, leading to the new investment paradigm of factorbased
investing. From a top down perspective, investors should be most concerned about shocks
in macro factors such as growth or inflation that ultimately govern the pricing of broad asset classes.
Yet, there has been little research into modeling and managing such macro factors in a way that
investors' portfolio choice ultimately results in feasible portfolio allocations. This research project
aims to thoroughly address modeling macroeconomic factors against this objective and to
ultimately guide the design of portfolio allocations that can to serve various investors needs.
As such we will further the academic profession's understanding of the underlying economic
mechanism and provide the investment management industry with guideposts to efficiently
navigate and harvest macro factor premia.
People |
ORCID iD |
Debbie Henderson (Primary Supervisor) | |
Mustafa Erdis (Student) |
Studentship Projects
Project Reference | Relationship | Related To | Start | End | Student Name |
---|---|---|---|---|---|
ES/P000665/1 | 01/10/2017 | 30/09/2027 | |||
2398751 | Studentship | ES/P000665/1 | 01/10/2020 | 30/09/2024 | Mustafa Erdis |