Mean-ETL Optimization in HorseRace Competition

Volume: 4
Published: Jun 11, 2018
Abstract
In this paper, we present the methodology and results of the portfolios submitted to the HorseRace competition. The nine portfolios were constructed by applying the Mean-ETL optimization approach. The Mean-ETL optimization approach uses three fundamental variables (REG10, CTEF and MQ) and three stock universes (GL, XUS and EM), with each of the three fundamental variables applied one at a time to one of the three universes. This study assesses...
Paper Details
Title
Mean-ETL Optimization in HorseRace Competition
Published Date
Jun 11, 2018
Volume
4
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