BNP Paribas Investment Partners
François Soupé is Co-Head of the Quant Research Group at BNP Paribas Asset Management in Paris, France, since November 2017. François joined BNP Paribas AM in 2011 as Head of Quantitative Research of THEAM, a fully-owned subsidiary specialised in Systematic, Protected and Indexed Management which merged with BNPP AM France in late 2017. Prior to that, François held positions in Paris, France, as Quantitative Expert Consultant and Hiram Finance between 2010 and 2011, Head of the Pricing and Research Desk at Société Générale Asset Management between 2002 and 2009 and a Financial Engineer for Research and Innovation at HSBC–CCF between 1999 and 2001. François graduated from the National School of Statistics and Economics (ENSAE) in Paris, France, in 1999 and he holds an Engineering Degree from Ecole Polytechnique in Paris, France, obtained in 1997.
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…