volume 5, issue 4, P801-822 1999
DOI: 10.1017/s1357321700000660
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R.S. Clarkson

Abstract: ABSTRACTThis paper extends and develops the strategy investment approach first described in a paper to the 1997 Investment Conference of the Faculty and Institute of Actuaries. Selected constituents of the FTSE-100 Index are partitioned each month into groups of ten in terms of relative attractiveness as estimated by a utility function involving expected earnings growth over the following twelve months and prospective price-earnings ratio. The relative performances of these monthly cohorts of selections are th…

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