Risk Modelling in Optimized Factor Portfolios
Aligning risk and return factors to build more efficient, resilient factor portfolios.
Risk Modelling in Optimized Factor Portfolios
Successful quantitative investing requires alignment across alpha signals, risk models, and weighting functions.
Generic risk models often miss this alignment, leading to unintended risk and excess turnover. This paper presents a customized risk‑modelling framework that aligns risk with alpha, adapts to market regimes, and reflects real‑world constraints - delivering tighter risk control, lower turnover, and more reliable risk‑adjusted outcomes across a range of factor strategies.
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