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Suggested References for Building Factor-Mimicking Portfolios

Article Quant Q&A · Author: Konstantinos
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Summary

The document answers a request for accessible textbook guidance on constructing factor-mimicking portfolios. It recommends CFA Level III study notes as a relatively plain-language source, specifically citing two volumes from an older edition. It also points readers to a financial time-series textbook that includes an implementation example in R.

The response offers reading suggestions rather than explaining the portfolio construction method itself. It gives no derivation, empirical evidence, or comparison of approaches, and the recommendations are limited: the edition details are recalled uncertainly, and the cited sources may not provide a comprehensive treatment. Readers seeking practical instruction should treat this as a starting point for further study rather than a standalone guide.

Key ideas

  • CFA Level III study notes are suggested as an accessible introduction to factor-mimicking portfolios.
  • A financial time-series textbook is recommended for an implementation example.
  • The response provides references rather than explaining portfolio construction mechanics.
  • The specific edition details are recalled uncertainly.

Tags

Factor investingPortfolio construction
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# Recommended Literature for creating Factor Mimicking Portfolios


# Recommended Literature for creating Factor Mimicking Portfolios












Is there a textbook that contains the basics for creating Factor Mimicking Portfolios? Although there is a lot of peer-reviewed literature on this, I cannot find textbooks on Asset Pricing that explain in "plain words" how to create Factor Mimicking Portfolios.

## Answer by Alexander Didenko (score 2, accepted)

https://quant.stackexchange.com/a/14248

Pretty good explanation is in Schweser CFA Study Notes for CFA level III. Books 3 and 5, at least from 2009, if I remember right. See also Tsay R.S. Analysis of Financial Time Series (Wiley Series in Probability and Statistics). // 2010. - good example with implementation in R.

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