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Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM

Author

Listed:
  • Xiaohui NI

    (East China University of Science and Technology (Ph.D candidate))

  • Yannick MALEVERGNE

    (Université de Lyon, Université de Saint-Etienne and Coactis)

  • Didier SORNETTE

    (ETH Zürich and Swiss Finance Institute)

  • Peter WOEHRMANN

    (Stanford University)

Abstract

No abstract is available for this item.

Suggested Citation

  • Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN, 2011. "Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM," Swiss Finance Institute Research Paper Series 11-03, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1103
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    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1753014
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    Citations

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    Cited by:

    1. Clark, Ephraim & Kassimatis, Konstantinos, 2014. "Exploiting stochastic dominance to generate abnormal stock returns," Journal of Financial Markets, Elsevier, vol. 20(C), pages 20-38.
    2. Sandro Claudio Lera & Didier Sornette, 2015. "Currency target zone modeling: An interplay between physics and economics," Papers 1508.04754, arXiv.org, revised Oct 2015.
    3. Clark, Ephraim & Kassimatis, Konstantinos, 2012. "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1144-1151.
    4. Bellu, Mirko & Conversano, Claudio, 2020. "Protected Adaptive Asset Allocation," Finance Research Letters, Elsevier, vol. 32(C).
    5. David Ardia & Kris Boudt, 2013. "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche 1328, CIRPEE.

    More about this item

    Keywords

    CAPM; mean-variance portfolio optimization; constrained optimization; Fama-French; value-size portfolios; dynamical allocation; expected returns;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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