---
title: Mean-Variance Optimization of Factors and the Cross-Section of Stock Returns
url: https://www.ml-quant.com/papers/ssrn/4721605/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4721605
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4721605
featured: 2024-02-14
citations: 0
topic: Portfolio & Allocation
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4721605
- Identifier: SSRN 4721605
- Released: 2024-02-09
- First featured: Quant Letter No. 37 (2024-02-14): https://www.ml-quant.com/issues/2024-02-14/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Portfolio & Allocation

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