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Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth

Author

Listed:
  • John B. Guerard

    (McKinley Capital Management, Inc.)

  • Harry Markowitz

    (McKinley Capital Management, Inc.
    Harry Markowitz Co., Inc.)

  • Ganlin Xu

    (McKinley Capital Management, Inc.
    GuidedChoice.com, Inc.)

  • Ziwei Wang

    (McKinley Capital Management, Inc.)

Abstract

This study addresses stock selection modeling and portfolio construction and implementation in global and U.S. markets in the context of multi-objectives optimization framework. We will show how forecasted earnings acceleration factors can enhance returns in global and U.S. stock markets. We construct Markowitz portfolios for Global and U.S. domestic Markets that offer superior returns-to-risk ratios, relative to domestic portfolios. We show how stock repurchases and corporate exports can be estimated and implemented as the third objective to generate statistically significant excess returns in global and U.S. stock markets. It is particularly interesting to note the conflicting corporate strategies’ impacts on stockholder wealth.

Suggested Citation

  • John B. Guerard & Harry Markowitz & Ganlin Xu & Ziwei Wang, 2018. "Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth," Annals of Operations Research, Springer, vol. 267(1), pages 203-219, August.
    • Handle: RePEc:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-016-2380-4
    DOI: 10.1007/s10479-016-2380-4
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    References listed on IDEAS

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    Cited by:

    1. John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
    2. Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.

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