Mean-Variance Optimization of Factors and the Cross-Section of Stock Returns
A new asset pricing factor, created using optimal portfolio weights to maximize the Sharpe ratio, can explain the cross-section of stock and bond returns, even when accounting for popular factors.
Featured in No. 37 on 14 Feb 2024 · 5 days after release · 0 citations today
- Released
- 9 Feb 2024
- First featured
- No. 37 · 14 Feb 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
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- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4721605
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