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DC Field | Value | Language |
---|---|---|
dc.citation.endPage | 62 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 46 | - |
dc.citation.title | GLOBAL ECONOMIC REVIEW | - |
dc.citation.volume | 48 | - |
dc.contributor.author | Park, Sung Jun | - |
dc.contributor.author | Kim, Taehyun | - |
dc.date.accessioned | 2023-12-21T19:40:09Z | - |
dc.date.available | 2023-12-21T19:40:09Z | - |
dc.date.created | 2019-05-27 | - |
dc.date.issued | 2019-01 | - |
dc.description.abstract | This paper provides novel evidence that investors can build a better performing portfolio by exploiting industry level consensus recommendations. A minimum variance portfolio, combined with consensus recommendations, yields a higher Sharpe ratio and certainty equivalent returns. A minimum variance portfolio with no short-selling constraint consistently outperforms an equally weighted portfolio when exploiting consensus recommendations, which is an innovation compared to the existing literature. Our results suggest that sell-side analysts and brokers provide valuable information in the financial market and we benefit from incorporating the information in the portfolio optimisation. | - |
dc.identifier.bibliographicCitation | GLOBAL ECONOMIC REVIEW, v.48, no.1, pp.46 - 62 | - |
dc.identifier.doi | 10.1080/1226508X.2018.1553112 | - |
dc.identifier.issn | 1226-508X | - |
dc.identifier.scopusid | 2-s2.0-85057615695 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/26752 | - |
dc.identifier.url | https://www.tandfonline.com/doi/full/10.1080/1226508X.2018.1553112 | - |
dc.identifier.wosid | 000457547800003 | - |
dc.language | 영어 | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | Seeking a Better Portfolio with Industry Recommendations | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.identifier.kciid | ART002437375 | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Portfolio optimisation | - |
dc.subject.keywordAuthor | analyst forecast | - |
dc.subject.keywordAuthor | industry-level consensus recommendations | - |
dc.subject.keywordPlus | PERFORMANCE | - |
dc.subject.keywordPlus | DIVERSIFICATION | - |
dc.subject.keywordPlus | SELECTION | - |
dc.subject.keywordPlus | SHARPE | - |
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