Factors to Assets: Mapping Factor Exposures to Asset Allocations

The authors demonstrate a methodology for optimizing a portfolio of 15 asset classes to match a preferred exposure to 6 factors.  They also implement various constraints and find they are still able to build a portfolio that closely matches a preferred factor exposure under those conditions.

GREENBERG, D., BABU, A., & ANG, A. (2016). Factors to Assets: Mapping Factor Exposures to Asset Allocations. Journal Of Portfolio Management, 42(5), 18-27.