要素投资的要素在哪里？

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-02-21 DOI:10.3905/jpm.2023.1.477

Marcos M. López de Prado

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引用次数: 0

摘要

在这篇文章中，作者主张使用因果图来实现要素投资领域的现代化，并将其建立在逻辑连贯的基础上。为此，他首先介绍了关联和因果关系的概念。其次，他解释了因果图的使用，以及在经济学家中非常流行的其他等价假设的真实（因果）含义。第三，他解释了因果图如何帮助我们在观察性（非实验性）研究中估计因果效应。第四，他用蒙特卡洛实验说明了所有早期的概念。他得出结论，因子投资领域必须包含因果图，才能从其关联睡眠中醒来。

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Where Are the Factors in Factor Investing?

In this article, the author advocates for the use of causal graphs to modernize the field of factor investing and set it on a logically coherent foundation. To do this, first he introduces the concepts of association and causation. Second, he explains the use of causal graphs and the real (causal) meaning of the ceteris paribus assumption that is so popular among economists. Third, he explains how causal graphs help us estimate causal effects in observational (nonexperimental) studies. Fourth, he illustrates all of the earlier concepts with Monte Carlo experiments. He concludes that the field of factor investing must embrace causal graphs in order to wake up from its associational slumber.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.