| Autor: |
Gharanchaei, Maysam Khodayari, Panda, Prabhu Prasad, Chen, Xilin |
| Rok vydání: |
2024 |
| Předmět: |
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| Zdroj: |
Journal of Advancements in Applied Business Research, June 2024 |
| Druh dokumentu: |
Working Paper |
| Popis: |
This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various risk models and for each model different investment strategies are tested. Out of sample tests are performed on a long-term horizon from 1970 until 2023. |
| Databáze: |
arXiv |
| Externí odkaz: |
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