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Weak Correlations of Stocks Future Returns

Statistical Finance 2018-09-20 v2 Portfolio Management

Abstract

We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries than both an equally weighted and an efficient frontier portfolio.

Keywords

Cite

@article{arxiv.1806.05160,
  title  = {Weak Correlations of Stocks Future Returns},
  author = {Ludovico Latmiral},
  journal= {arXiv preprint arXiv:1806.05160},
  year   = {2018}
}

Comments

8 pages, 3 figures, 1 table

R2 v1 2026-06-23T02:29:00.705Z