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