Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks
Abstract
In this analysis of the risk and return of stocks in global markets, we build several models of stock selection and create optimized portfolios to outperform a global benchmark. We apply several applications of robust regression techniques in producing stock selection models and several Markowitz-based optimization techniques in portfolio construction in various global stock universes. We test separate Japanese and Chinese stock selection models...
Paper Details
Title
Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks
Published Date
Jan 1, 2016
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