Mean-ETL Optimization in HorseRace Competition
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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