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Portfolio Selection using New Factors based on Firm Characteristics

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  • Sangwon Suh

    (Chung-Ang University)

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.

Suggested Citation

  • Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
    • Handle: RePEc:jed:journl:v:43:y:2018:i:1:p:77-99
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    References listed on IDEAS

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    More about this item

    Keywords

    Portfolio Selection; Asset Pricing Models; Mean-Variance Analysis; Sharpe Ratio; Firm Characteristics;
    All these keywords.

    JEL classification:

    • I32 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - Measurement and Analysis of Poverty
    • I39 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - Other
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • D60 - Microeconomics - - Welfare Economics - - - General
    • I00 - Health, Education, and Welfare - - General - - - General

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