Abstract:In this analysis of the risk and return of stocks in global markets, we build several models of stock selection and create optimized portfolios to outperform a global benchmark. We apply several applications of robust regression techniques in producing stock selection models and several Markowitz‐based optimization techniques in portfolio construction in various global stock universes. We test separate Japanese and Chinese stock selection models because they are large markets, with large global benchmark weigh… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.