Tilted and Anti-Tilted Portfolios: A Coherent Framework for Advanced Beta Portfolio Construction
Bender and Wang (2019) study factor investing in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The intuition behind benchmark-aware advanced beta portfolios is simple – overweight securities that rank high on the characteristic, or factor, the portfolio is meant to capture and underweight, or exclude, securities that rank low on that characteristic.”
AssetEquities
StrategyFactor investingportfolio optimization
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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