RT Journal Article
SR Electronic
T1 Mean-ETL Optimization of a Global Portfolio
JF The Journal of Investing
FD Institutional Investor Journals
SP 115
OP 119
DO 10.3905/joi.2013.22.4.115
VO 22
IS 4
A1 Barret Pengyuan Shao
A1 Svetlozar T. Rachev
YR 2013
UL https://pm-research.com/content/22/4/115.abstract
AB In this article, the authors examine the mean-expected tail loss (ETL) portfolio optimization of global portfolios using a global expected return (GLER) model, which is based on fundamental data of companies. Empirically, they show that for the 2003–2011 period, mean-ETL portfolios based on a GLER model could generate statistically significant active returns. Also, they show that the GLER model active return dominates the United States expected returns model active returns for the same periods. The global markets offer greater opportunities than the U.S. markets.TOPICS: Fundamental equity analysis, portfolio construction