| 000 | 02312nam a2200373 i 4500 | ||
|---|---|---|---|
| 001 | CR9781009397315 | ||
| 003 | UkCbUP | ||
| 005 | 20240508141514.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 221223s2023||||enk o ||1 0|eng|d | ||
| 020 | _a9781009397315 (ebook) | ||
| 020 | _z9781009397292 (paperback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
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| 050 | 0 | 0 |
_aHG4521 _b.L819 2023 |
| 082 | 0 | 0 |
_a332.6 _223/eng/20230824 |
| 100 | 1 |
_aLópez de Prado, Marcos Mailoc, _eauthor. |
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| 245 | 1 | 0 |
_aCausal factor investing : _bcan factor investing become scientific? / _cMarcos M. López de Prado, ADIA Lab. |
| 264 | 1 |
_aCambridge, United Kingdom ; New York, NY : _bCambridge University Press, _c2023. |
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| 300 |
_a1 online resource (81 pages) : _bdigital, PDF file(s). |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 |
_aCambridge elements. Elements in quantitative finance, _x2631-8571 |
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| 500 | _aOpen Access | ||
| 500 | _aTitle from publisher's bibliographic system (viewed on 12 Oct 2023). | ||
| 520 | _aVirtually all journal articles in the factor investing literature make associational claims, instead of causal claims. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, and they do not propose experiments for falsifying causal mechanisms. Absent a causal theory, their findings are likely false, due to rampant backtest overfitting and incorrect specification choices. This Element differentiates between type-A and type-B spurious claims, and explains how both types prevent factor investing from advancing beyond its current phenomenological stage. It analyzes the current state of causal confusion in the factor investing literature, and proposes solutions with the potential to transform factor investing into a truly scientific discipline. This title is also available as Open Access on Cambridge Core. | ||
| 650 | 0 | _aInvestments. | |
| 650 | 0 | _aAsset allocation. | |
| 650 | 0 | _aPortfolio management. | |
| 776 | 0 | 8 |
_iPrint version: _z9781009397292 |
| 830 | 0 |
_aCambridge elements. Elements in quantitative finance, _x2631-8571. |
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| 856 | 4 | 0 | _uhttps://doi.org/10.1017/9781009397315 |
| 999 |
_c38520 _d38520 |
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