Investing in Systematic Factor Premiums Koedijk, Kees G.; Slager, Alfred M.H.; Stork, Philip A.
European financial management : the journal of the European Financial Management Association,
March 2016, Volume:
22, Issue:
2
Journal Article
Peer reviewed
In this paper we investigate and evaluate factor investing in the US and Europe for equities and bonds. We show that factor‐based portfolios generally produce comparable or better portfolios than ...market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.
We study the problem of finding solutions to linear equations modulo an unknown divisor p of a known composite integer N. An important application of this problem is factorization of N with given ...bits of p. It is well-known that this problem is polynomial-time solvable if at most half of the bits of p are unknown and if the unknown bits are located in one consecutive block. We introduce an heuristic algorithm that extends factoring with known bits to an arbitrary number n of blocks. Surprisingly, we are able to show that ln (2) ≈ 70% of the bits are sufficient for any n in order to find the factorization. The algorithm’s running time is however exponential in the parameter n. Thus, our algorithm is polynomial time only for \documentclass12pt{minimal}
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\begin{document}$n = {\mathcal O}(\log\log N)$\end{document} blocks.
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