Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 27

 Some investors prefer to construct portfolios from asset classes because asset classes are readily observable and directly investable.

 Other investors prefer to allocate to factors because they believe asset classes are defined arbitrarily and do not capture the fundamental determinants of performance as directly as factors do. Also, some factors carry risk premiums that are not directly available from asset classes.

 Investors can have it both ways by continuing to invest in asset classes but augmenting the Markowitz objective function to include a term that penalizes deviation from a desired factor profile.