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Hollstein et al., 2023 - Google Patents

Managing the market portfolio

Hollstein et al., 2023

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Document ID
12724302614812186744
Author
Hollstein F
Prokopczuk M
Publication year
Publication venue
Management Science

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Snippet

We analyze the relation between time-series predictability and factor investing. We use a large set of financial, macroeconomic, and technical variables to time-series-manage the market portfolio. A combination of the out-of-sample market excess return forecasts of all …
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Classifications

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
    • G—PHYSICS
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    • G06Q30/00—Commerce, e.g. shopping or e-commerce
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