Parametric portfolio policies exploiting characteristics in the cross-section of equity returns

"We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfo...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Brandt, Michael W. (VerfasserIn), Santa-Clara, Pedro (VerfasserIn), Valkanov, Rossen I. 1973- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. National Bureau of Economic Research 2004
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 10996
Schlagworte:	Mathematisches Modell Portfolio management > Mathematical models
Online-Zugang:	kostenfrei
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