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Portfolio selection using new factors based on firm characteristicsopen accessPORTFOLIO SELECTION USING NEW FACTORS BASED ON FIRM CHARACTERISTICS
- Authors
- Suh, S.
- Issue Date
- Mar-2018
- Publisher
- Economic Research Institute of Chung-Ang University
- Keywords
- Asset pricing models; Firm characteristics; Mean-variance analysis; Portfolio selection; Sharpe ratio
- Citation
- Journal of Economic Development, v.43, no.1, pp 77 - 99
- Pages
- 23
- Journal Title
- Journal of Economic Development
- Volume
- 43
- Number
- 1
- Start Page
- 77
- End Page
- 99
- ISSN
- 0254-8372
- Abstract
- In this paper, we apply a new factor model to portfolio-selection problems and compare its portfolio investment performance with those of other popular portfolio-selection methods. The new factors are formed from a well-characterized subset of the asset universe based on firm characteristics and exhibit better asset-pricing performance than popular extant asset-pricing factors. The performance comparison shows that the new factors exhibit better portfolio investment performance than alternative methods for various test portfolios and various periods. © 2018, Economic Research Institute of Chung-Ang University.
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