Optimal characteristic portfolios-Reference-Cited by-同舟云学术

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Optimal characteristic portfolios

Published:2022-07-20 Issue:10 Volume:22 Page:1853-1870
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

McGee Richard J.¹^ORCID,Olmo Jose²³^ORCID

Affiliation:

1. The Michael Smurfit School of Business, University College Dublin, Dublin 4, Ireland

2. Department of Economic Analysis, Universidad de Zaragoza, Gran Vía 2, 50005 Zaragoza, Spain

3. Economics Department, University of Southampton, University Rd., Southampton SO17 1BJ, UK

Funder

Ministerio de Ciencia e Innovación, Gobierno de España

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2094282

Reference52 articles.

1. What is the value of the cross-sectional approach to deep reinforcement learning?

2. Characteristics-based portfolio choice with leverage constraints

3. Asset Pricing with a General Multifactor Structure

4. Time-Varying Liquidity and Momentum Profits

5. Panel Data Models With Interactive Fixed Effects

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1. A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling;Physica A: Statistical Mechanics and its Applications;2024-10

2. Factor-based portfolio optimization;Economics Letters;2023-07

3. On the time‐varying relationship between coskewness and returns of banks;Review of Financial Economics;2023-03-29

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