Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth

John B. Guerard (), Harry Markowitz, Ganlin Xu and Ziwei Wang
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John B. Guerard: McKinley Capital Management, Inc.
Ganlin Xu: McKinley Capital Management, Inc.
Ziwei Wang: McKinley Capital Management, Inc.

Annals of Operations Research, 2018, vol. 267, issue 1, No 11, 203-219

Abstract: Abstract This study addresses stock selection modeling and portfolio construction and implementation in global and U.S. markets in the context of multi-objectives optimization framework. We will show how forecasted earnings acceleration factors can enhance returns in global and U.S. stock markets. We construct Markowitz portfolios for Global and U.S. domestic Markets that offer superior returns-to-risk ratios, relative to domestic portfolios. We show how stock repurchases and corporate exports can be estimated and implemented as the third objective to generate statistically significant excess returns in global and U.S. stock markets. It is particularly interesting to note the conflicting corporate strategies’ impacts on stockholder wealth.

Keywords: Portfolio optimization; I/B/E/S forecasts; Corporate exports (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10479-016-2380-4

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