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An Application of Evolutionary Portfolio Theory to Factor Investing

03 Jul 2018 - 10:00 am - 11:15 am

An Application of Evolutionary Portfolio Theory to Factor Investing

Abstract: The paper studies the dynamic interaction of factor investment strategies (e.g. the Fama-Frech factors MKT, HML, SMB, QMJ, WML,…). It suggests measures for the capacity of strategies and for the cross impact between strategies which we evaluate empirically in a large stock market universe. We find that the capacity of long-short strategies is lower than that for long-only strategies and that strategies interact like species in biological evolution. E.g. HML and WML interact like predator prey leading to Lotka-Volterra dynamics.

Details

Date:
03 Jul 2018
Time:
10:00 am - 11:15 am
Event Category:
Event Tags:

Venue

Golfclub Olching e.V.,
Feursstraße 89
Olching, 82140 Germany
Website:
https://www.golfclubolching.de/

Other

Name (Seminar)
Thorsten Hens
Link Name (Seminar)
http://www.bf.uzh.ch/cms/de/hens.thorsten.html
Institution
University of Zurich
Room
3539
Host
Christoph Kaserer
Host Link
http://www.fm.wi.tum.de/index.php?id=16&L=0
Room Link
https://portal.mytum.de/campus/roomfinder/roomfinder_viewmap?mapid=12&roomid=3539@0505

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