Journal of Investment Strategies

Welcome to issue two in the eighth volume of The Journal of Investment Strategies.

In this issue, we present three papers covering a wide range of topics. The first paper, “Factor investing: get your exposures right!“, by François Soupé, Xiao Lu and Raul Leote de Carvalho, ponders the question of optimal portfolio construction for equity factor investing and discusses the question of multifactor portfolio construction to show that the simplistic approaches often used by practitioners tend to be suboptimal.

In the second paper, “Dynamic volatility management: from conditional volatility to realized volatility” by Rongju Zhang, Nicolas Langrené, Yu Tian and Zili Zhu, presents a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.

Finally, George Tsalikis and Simeon Papadopoulos in their paper “Can shorting leveraged exchange-traded fund pairs be a profitable trade?” examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.                          

We hope that you enjoy reading!

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