Original paper
Global Stock Selection Modeling and Efficient Portfolio Construction and Management
Abstract
Stock selection models often use analysts’ expectations, momentum, and fundamental data. The authors found support for composite modeling using these sources of data for global stocks from 1997 through 2011. They found additional evidence to support the use of SunGard APT multifactor models for portfolio construction and risk control. Three levels of testing of stock selection and portfolio construction models are developed and estimated. They...
Paper Details
Title
Global Stock Selection Modeling and Efficient Portfolio Construction and Management
Published Date
Nov 30, 2013
Journal
Volume
22
Issue
4
Pages
121 - 128
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Notes
History