Match!

Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth

Published on Aug 1, 2018in Annals of Operations Research2.28
· DOI :10.1007/s10479-016-2380-4
John B. Guerard14
Estimated H-index: 14
,
Harry M. Markowitz1
Estimated H-index: 1
+ 1 AuthorsZiwei (Elaine) Wang2
Estimated H-index: 2
Abstract
This study addresses stock selection modeling and portfolio construction and implementation in global and U.S. markets in the context of multi-objectives optimization framework. We will show how forecasted earnings acceleration factors can enhance returns in global and U.S. stock markets. We construct Markowitz portfolios for Global and U.S. domestic Markets that offer superior returns-to-risk ratios, relative to domestic portfolios. We show how stock repurchases and corporate exports can be estimated and implemented as the third objective to generate statistically significant excess returns in global and U.S. stock markets. It is particularly interesting to note the conflicting corporate strategies’ impacts on stockholder wealth.
  • References (54)
  • Citations (1)
References54
Newest
25 CitationsSource
#1John B. GuerardH-Index: 14
#2Harry MarkowitzH-Index: 17
Last.Ganlin XuH-Index: 11
view all 3 authors...
25 CitationsSource
#1Marcus Schulmerich (State Street Global Advisors)H-Index: 4
#2Yves-Michel Leporcher (Crédit Agricole)H-Index: 3
Last.Ching-Hwa Eu (Deutsche Bank)H-Index: 3
view all 3 authors...
18 CitationsSource
5 CitationsSource
#1Sebastian Utz (University of Regensburg)H-Index: 7
#2Maximilian Wimmer (University of Regensburg)H-Index: 10
Last.Ralph E. Steuer (UGA: University of Georgia)H-Index: 33
view all 4 authors...
52 CitationsSource
#1J. B. GuerardH-Index: 1
#2Svetlozar T. Rachev (SBU: Stony Brook University)H-Index: 45
Last.Barret Pengyuan Shao (SBU: Stony Brook University)H-Index: 3
view all 3 authors...
34 CitationsSource
#1Markus HirschbergerH-Index: 11
#2Ralph E. Steuer (UGA: University of Georgia)H-Index: 33
Last.Yue Qi (NKU: Nankai University)H-Index: 10
view all 5 authors...
35 CitationsSource
17 CitationsSource
#1John B. GuerardH-Index: 14
13 CitationsSource
#1Milagros Bravo Selles (Polytechnic University of Valencia)H-Index: 5
#2David Pla-Santamaria (Polytechnic University of Valencia)H-Index: 9
Last.Ana Garcia-Bernabeu (Polytechnic University of Valencia)H-Index: 6
view all 3 authors...
11 CitationsSource
Cited By1
Newest
Source