Matches in SemOpenAlex for { <https://semopenalex.org/work/W3204688980> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W3204688980 abstract "We present a semiparametric portfolio optimization method in which portfolio weights are parameterized as a non-linear function of firm characteristics. This approach generalizes the linear parametric portfolio policy of Brandt et al. (2009) and can be applied to high-dimensional problems at a relatively low computational cost. An empirical implementation exploiting the size, value, and momentum anomalies in the universe of CRSP stocks reveals that non-linearities as well as interaction effects are both important and complementary for the portfolio construction problem. Moreover, an out-of-sample evaluation indicates that the semiparametric strategies perform well in terms of returns, risk, and risk-adjusted returns both in the absence and in the presence of transaction costs. Our evidence suggests that allowing for a more flexible relation between portfolio weights and firm characteristics can provide a more accurate description of the empirical patterns seen in data." @default.
- W3204688980 created "2021-10-11" @default.
- W3204688980 creator A5010508989 @default.
- W3204688980 creator A5064749949 @default.
- W3204688980 creator A5081267549 @default.
- W3204688980 date "2021-01-01" @default.
- W3204688980 modified "2023-10-08" @default.
- W3204688980 title "Semiparametric Portfolio Policies" @default.
- W3204688980 cites W1423766661 @default.
- W3204688980 cites W1969640518 @default.
- W3204688980 cites W1995834279 @default.
- W3204688980 cites W2021614726 @default.
- W3204688980 cites W2027106381 @default.
- W3204688980 cites W2060044440 @default.
- W3204688980 cites W2073103707 @default.
- W3204688980 cites W2077171408 @default.
- W3204688980 cites W2124149416 @default.
- W3204688980 cites W2136120210 @default.
- W3204688980 cites W2586702902 @default.
- W3204688980 cites W2620150093 @default.
- W3204688980 cites W2963070656 @default.
- W3204688980 cites W3018089439 @default.
- W3204688980 cites W3021190191 @default.
- W3204688980 cites W3022302007 @default.
- W3204688980 cites W3023157742 @default.
- W3204688980 cites W3121764760 @default.
- W3204688980 cites W3122785968 @default.
- W3204688980 cites W3124020741 @default.
- W3204688980 cites W3124698695 @default.
- W3204688980 cites W3125001983 @default.
- W3204688980 cites W3126136988 @default.
- W3204688980 cites W4237239309 @default.
- W3204688980 cites W4237693087 @default.
- W3204688980 cites W4242067316 @default.
- W3204688980 cites W4297491151 @default.
- W3204688980 doi "https://doi.org/10.2139/ssrn.3830435" @default.
- W3204688980 hasPublicationYear "2021" @default.
- W3204688980 type Work @default.
- W3204688980 sameAs 3204688980 @default.
- W3204688980 citedByCount "0" @default.
- W3204688980 crossrefType "journal-article" @default.
- W3204688980 hasAuthorship W3204688980A5010508989 @default.
- W3204688980 hasAuthorship W3204688980A5064749949 @default.
- W3204688980 hasAuthorship W3204688980A5081267549 @default.
- W3204688980 hasConcept C106159729 @default.
- W3204688980 hasConcept C144133560 @default.
- W3204688980 hasConcept C149782125 @default.
- W3204688980 hasConcept C162324750 @default.
- W3204688980 hasConcept C2780821815 @default.
- W3204688980 hasConceptScore W3204688980C106159729 @default.
- W3204688980 hasConceptScore W3204688980C144133560 @default.
- W3204688980 hasConceptScore W3204688980C149782125 @default.
- W3204688980 hasConceptScore W3204688980C162324750 @default.
- W3204688980 hasConceptScore W3204688980C2780821815 @default.
- W3204688980 hasLocation W32046889801 @default.
- W3204688980 hasOpenAccess W3204688980 @default.
- W3204688980 hasPrimaryLocation W32046889801 @default.
- W3204688980 hasRelatedWork W1652691946 @default.
- W3204688980 hasRelatedWork W1760091771 @default.
- W3204688980 hasRelatedWork W1973538245 @default.
- W3204688980 hasRelatedWork W1993466286 @default.
- W3204688980 hasRelatedWork W2013444265 @default.
- W3204688980 hasRelatedWork W2021570049 @default.
- W3204688980 hasRelatedWork W2030617584 @default.
- W3204688980 hasRelatedWork W2056210026 @default.
- W3204688980 hasRelatedWork W331667891 @default.
- W3204688980 hasRelatedWork W2142213187 @default.
- W3204688980 isParatext "false" @default.
- W3204688980 isRetracted "false" @default.
- W3204688980 magId "3204688980" @default.
- W3204688980 workType "article" @default.