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

Authors:	NI, Xiaohui ; MALEVERGNE, Yannick ; SORNETTE, Didier ; WOEHRMANN, Peter
Subject:	CAPM \| mean-variance portfolio optimization \| constrained optimization \| Fama-French \| value-size portfolios \| dynamical allocation \| expected returns

Extent:	application/pdf
Series:	Swiss Finance Institute Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 11-03 18 pages
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010550280