Pure quantile portfolios on the Johannesburg stock exchange-Reference-Cited by-同舟云学术

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Pure quantile portfolios on the Johannesburg stock exchange

Published:2023-07-03 Issue:2 Volume:11 Page:
ISSN:2332-2039
Container-title:Cogent Economics & Finance
language:en
Short-container-title:Cogent Economics & Finance

Author:

Page Daniel¹²^ORCID,McClelland David¹³^ORCID,Auret Christo¹

Affiliation:

1. School of Economics and Finance, University of the Witwatersrand, Johannesburg, South Africa

2. School of Economics and Finance, 27four Investment Managers, Johannesburg, South Africa

3. School of Economics and Finance, Laurium Capital, Johannesburg, South Africa

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/23322039.2023.2231662

Reference25 articles.

1. The Interaction of Value and Momentum Strategies

2. Do the value, size and January effects exist on the JSE?

3. Back K. Kapadia N. & Ostdiek B. (2013). Slopes as factors: Characteristic pure plays. Available at SSRN 2295993 .

4. Feasibility of the Fama and French three factor model in explaining returns on the JSE

5. A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

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