TY - JOUR T1 - Practical Applications of A Risk-Oriented Model for Factor-Timing Decisions JF - Practical Applications SP - 1 LP - 3 DO - 10.3905/pa.2016.3.3.145 VL - 3 IS - 3 AU - Keith Miller AU - Hong Li AU - Tiffany G. Zhou AU - Daniel Giamouridis A2 - Goyal, Gauri Y1 - 2016/01/31 UR - https://pm-research.com/content/3/3/1.9.abstract N2 - 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. ER -