Further Analysis of Efficient Portfolios with the USER Data

Volume: 21, Issue: 1, Pages: 81 - 88
Published: Feb 29, 2012
Abstract
In this study, we show that earnings forecasting and price momentum strategies complement fundamental stock selection strategies such that a composite model can be effectively implemented using both enhanced index-tracking portfolios and traditional mean–variance portfolios. The mean–variance optimization model produces statistically significant asset selection portfolios that dominate less-aggressive enhanced index-tracking portfolio...
Paper Details
Title
Further Analysis of Efficient Portfolios with the USER Data
Published Date
Feb 29, 2012
Volume
21
Issue
1
Pages
81 - 88
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