Portfolio Selection Using New Factors Based on Firm Characteristics

Q4 Economics, Econometrics and Finance

Journal of economic development Pub Date : 2018-03-01 DOI:10.35866/caujed.2018.43.1.004

S. Suh

引用次数: 0

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.

查看原文本刊更多论文

基于企业特征的新因素投资组合选择

在本文中，我们将一个新的因子模型应用于投资组合选择问题，并将其投资组合性能与其他流行的投资组合选择方法进行比较。新的因素是由基于企业特征的资产宇宙的一个特征良好的子集形成的，并且表现出比流行的现有资产定价因素更好的资产定价性能。性能比较表明，在不同的测试组合和不同的时期，新因素比替代方法表现出更好的组合投资性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of economic development Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Economic Development (JED) promotes and encourages research that aim at economic development and growth by publishing papers of great scholarly merit on a wide range of topics and employing a wide range of approaches. JED welcomes both theoretical and empirical papers in the fields of economic development, economic growth, international trade and finance, labor economics, IO, social choice and political economics. JED also invites the economic analysis on the experiences of economic development in various dimensions from all the countries of the globe.