| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090048 | Journal of Banking & Finance | 2012 | 10 Pages |
Abstract
⺠We study empirical mean-variance optimization. ⺠Portfolio weights are restricted to be direct functions of stock characteristics. ⺠This reduces problem to mean-variance analysis of single-characteristic strategies. ⺠Empirical application to international stock return indexes show strong results.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Erik Hjalmarsson, Petar Manchev,