Original paper
Effective Stock Selection and Portfolio Construction Within US, International, and Emerging Markets
Abstract
In this paper, we explore the ex-post attributes of 120 simulated portfolios across the U.S., International, and Emerging Markets. We estimate expected returns using a given global stock selection model employing Global Equity Rating (GLER) and Consensus Temporary Earnings Forecasting (CTEF) signals. Our portfolios are constructed under the Markowitz optimization framework and constrained at various tracking error levels. Further, an alpha...
Paper Details
Title
Effective Stock Selection and Portfolio Construction Within US, International, and Emerging Markets
Published Date
May 24, 2018
Volume
4
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