• 1 The Challenge
  • 2 The Solution
  • 2.1 Formal Description of the Solution
  • 2.2 Implementation of the Solution
  • 2.3 Comparison to Related Approaches
  • 3 Investment Universes and Portfolio Construction
  • 3.1 Idealistic Setup
  • 3.2 Realistic Setup
  • 3.3 Statistical Significance of Portfolio Outperformance
  • 4 Results
  • 4.1 Idealistic Setup
  • 4.2 Realistic Setup
  • 5 Conclusions
  • End Notes
  • References
  • A Appendix