PT  - JOURNAL ARTICLE
AU  - Keith Miller
AU  - Hong Li
AU  - Tiffany G. Zhou
AU  - Daniel Giamouridis
ED  - Goyal, Gauri
TI  - Practical Applications of A Risk-Oriented Model for Factor-Timing Decisions
AID  - 10.3905/pa.2016.3.3.145
DP  - 2016 Jan 31
TA  - Practical Applications
PG  - 1--3
VI  - 3
IP  - 3
4099  - https://pm-research.com/content/3/3/1.9.short
4100  - https://pm-research.com/content/3/3/1.9.full
AB  - A Risk-Oriented Model for Factor-Timing Decisions Keith Miller Hong Li Tiffany G Zhou Daniel Giamouridis The turbulent markets of recent years have revealed the vulnerability of multifactor portfolio strategies to style/factor volatility and sudden and severe shifts of factor predictability. In answer to the demand for more sophisticated portfolio strategies, Daniel Giamouridis , Associate Professor in the Department of Accounting and Finance at the Athens University of Economics and Business , and his co-authors from Citigroup have developed an innovative model for factor weighting that uses decision-tree analysis and a comprehensive view of factor risk to improve the reward-to-risk ratio for multifactor investors.In a discussion with Institutional Investor Journals , Giamouridis explains how this model improves dynamic multifactor predictability, thus improving potential portfolio alpha for active equity managers.