Using Economic and Financial Information for Stock Selection

Ilir Roko and Manfred Gilli ()

No 06-21, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropriate choices. However the specification and parameterization of a model linking this exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of assets of forecasted similar behavior. We analyze the performance of this approach and apply it to different sectors of the S&P500.

Keywords: Portfolio optimization; Decision trees; Factor models (search for similar items in EconPapers)
JEL-codes: C35 G12 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-10
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Using economic and financial information for stock selection (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0621

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