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...

Stock selection models often use analysts' expectations, momentum, and fundamental data. We found support for composite modeling using these sources of data for global stocks during 1997-2011. We found additional evidence to support the use of SunGard APT and Axioma multi-factor models for...

This study addresses stock selection modeling and portfolio construction and implementation in global and U.S. markets in the context of multi-objectives optimization framework. We will show how forecasted earnings acceleration factors can enhance returns in global and U.S. stock markets. We...