Weak Correlations of Stocks Future Returns
classification
💱 q-fin.ST
q-fin.PM
keywords
correlationsportfolioreturnsadaptiveadoptedanalyzeassetsconstruct
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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.
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