Using economic and financial information for stock selection
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- Ilir Roko & Manfred Gilli, "undated". "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
- Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 105(1), pages 1-28.
- Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
- Marina Velikova & Hennie Daniels, 2004. "Decision trees for monotone price models," Computational Management Science, Springer, vol. 1(3), pages 231-244, October.
- Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
- Björn Fastrich & Peter Winker, 2012.
"Robust portfolio optimization with a hybrid heuristic algorithm,"
Computational Management Science,
Springer, vol. 9(1), pages 63-88, February.
- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
- Piotr Arendarski, 2012. "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers 2012-01, Faculty of Economic Sciences, University of Warsaw.
More about this item
KeywordsPortfolio optimization; Decision trees; Factor models; G12; C35;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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