Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
收藏NBER2004-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10996
下载链接
链接失效反馈官方服务：
资源简介：
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return
提供机构：
美国国家经济研究局
创建时间：
2004-12-01
