Weak Correlations of Stocks Future Returns

Ludovico Latmiral

Papers from arXiv.org

Abstract: We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries than both an equally weighted and an efficient frontier portfolio.

Date: 2018-06, Revised 2018-09
New Economics Papers: this item is included in nep-fmk and nep-knm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1806.05160

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