Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM

Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann
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Xiaohui Ni: East China University of Science and Technology (Ph.D candidate)
Didier Sornette: ETH Zürich and Swiss Finance Institute
Peter Woehrmann: Stanford University

No 11-03, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Keywords: CAPM; mean-variance portfolio optimization; constrained optimization; Fama-French; value-size portfolios; dynamical allocation; expected returns (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-01
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1103

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