Mean-ETL Optimization in HorseRace Competition | Zendy

Barret Pengyuan Shao | Zendy

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Mean-ETL Optimization in HorseRace Competition

Author(s) -

Barret Pengyuan Shao

Publication year - 2018

Publication title -

frontiers in applied mathematics and statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.31

H-Index - 13

ISSN - 2297-4687

DOI - 10.3389/fams.2018.00020

Subject(s) - portfolio optimization , portfolio , variable (mathematics) , mathematics , competition (biology) , statistics , stock (firearms) , econometrics , computer science , economics , geography , financial economics , mathematical analysis , ecology , archaeology , biology

In this paper, we present the methodology and results of the portfolios submitted to the HorseRace competition. The nine portfolios were constructed by applying the Mean-ETL optimization approach. The Mean-ETL optimization approach uses three fundamental variables (REG10, CTEF and MQ) and three stock universes (GL, XUS and EM), with each of the three fundamental variables applied one at a time to one of the three universes. This study assesses the return of the nine portfolios, and we report that all of these Mean-ETL portfolios produce positive active returns and most of them are statistically significant. Additionally, MQ variable is found to be the best among these three variables in the Mean-ETL portfolio construction.

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