Wednesday, January 5, 2005

Portfolio optimization made doable or at least more doable

Brandt, Santa Clara, and Valkanov have an interesting working paper that should help investors create optimal portfolios.

I will let them explain their paper:
"We propose a simple new approach to equity portfolio optimization based on firm
characteristics. We parameterize the weight invested in each stock as a function of the firm's characteristics, with the implicit assumption that these

0 comments:

Post a Comment