Mean-ETL Optimization of a Global Portfolio

In this article, the authors examine the mean-expected tail loss (ETL) portfolio optimization of global portfolios using a global expected return (GLER) model, which is based on fundamental data of companies. Empirically, they show that for the 2003–2011 period, mean-ETL portfolios based on a GLER model could generate statistically significant active returns. Also, they show that the GLER model active return dominates the United States expected...