均值方差有效投资组合的发展:30年后

IF 0.6 Q4 BUSINESS, FINANCE
S. Chava, J. Guerard
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引用次数: 0

摘要

1992年,在本杂志出版的第一年,Guerard和Takano报告了日本和美国股票市场的均方差有效投资组合,并表明使用收益、账面价值、现金流、销售额及其相对变量的回归加权复合模型每年比各自的股票基准高出约400个基点。两年后,Markowitz和Xu对复合模型策略进行了测试,从测试的各种模型中发现其超额收益具有统计学意义,并且复合模型策略不是数据挖掘的结果。在30周年纪念刊上,本文作者报告了2001-2002年期间的稳健回归建模结果,使用了R中的最新特征和最新的商业多因素模型进行投资组合选择。量化投资需要持续的执行和纪律,以最大限度地增加客户财富。作者的研究结果表明,股票选择模型可以有效地用于提供超额回报。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Development of Mean-Variance Efficient Portfolios: 30 Years Later
In 1992, in the initial year of this journal’s publication, Guerard and Takano reported mean-variance efficient portfolios for the Japanese and US equity markets and showed that the use of a regression-weighted composite model of earnings, book value, cash flow, sales, and their relative variables outperformed their respective equity benchmarks by approximately 400 basis points annually. Two years later, Markowitz and Xu tested the composite model strategy and found that its excess returns were statistically significant from a variety of models tested and that the composite model strategy was not the result of data mining. For the 30th anniversary issue, the authors of this article report robust regression modeling results for the 2001–2020 period using the latest features in R and the latest commercially available multi-factor models for portfolio selection. Quantitative investing requires constant implementation and discipline to maximize client wealth. The authors’ results suggest that stock selection models can be effectively employed to deliver excess returns.
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来源期刊
Journal of Investing
Journal of Investing BUSINESS, FINANCE-
CiteScore
1.10
自引率
16.70%
发文量
42
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