Abstract
In this paper, we apply a new factor model to portfolio-selection problems and compare its portfolio investment performance with those of other popular portfolio-selection methods. The new factors are formed from a well-characterized subset of the asset universe based on firm characteristics and exhibit better asset-pricing performance than popular extant asset-pricing factors. The performance comparison shows that the new factors exhibit better portfolio investment performance than alternative methods for various test portfolios and various periods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
