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Investing in Global Markets: Big Data and Applications of Robust Regression
Abstract
In this analysis of the risk and return of stocks in global markets, we apply several applications of robust regression techniques in producing stock selection models and several optimization techniques in portfolio construction in global stock universes. We find that (1) the robust regression applications are appropriate for modeling stock returns in global markets; and (2) mean-variance techniques continue to produce portfolios capable of...
Paper Details
Title
Investing in Global Markets: Big Data and Applications of Robust Regression
Published Date
Feb 24, 2016
Volume
1
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