haku: @indexterm Stock returns / yhteensä: 261
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Tekijä:Anderson, G.
Fletcher, J.
Marshall, A.
Otsikko:Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information
Lehti:European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P.67-82
Asiasana:stock returns
strategy
lag models
United Kingdom
Vapaa asiasana:dynamic trading strategy
mean-variance analysis
Kieli:eng
Tiivistelmä:The author evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe and finds with that including lagged conditioning information into the optimal mean-variance portfolio decision can add economic wealth and the lagged market excess returns instrument has the greatest impact on the portfolio decision.
SCIMA tietueen numero: 272232
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