Answer by vonjd for How to build a factor model?
vonjd
The following paper (and the references given within) focuses on the practical aspects of implementation of factor-based investing and gives an overarching framework for the more technical answers here: Practical Considerations for Factor-Based Asset Allocation by Kang, X. (Standard & Poor's), Ung, D. (Chartered Alternative Investment Analyst Association (CAIA); Global Association of Risk Professionals; CFA Institute), 2014 Abstract Much has been written about the shortcomings of the traditional