【作者(必填)】Josef Zorn

【文题(必填)】Value Ranked Equity Portfolios via Entropy Pooling

【年份(必填)】April 5, 2017

【全文链接或数据库名称(选填)】Value Ranked Equity Portfolios via Entropy Pooling by Josef Zorn :: SSRN
Abstract
This article demonstrates how to directly incorporate common value investing ideas in the portfolio optimization process. Through minimizing the relative entropy, multiple value rankings are merged with the historical return distribution. This approach yields performance improvements both from a diversification and a predictive perspective across various international stock markets. The predictive component can be attributed to a specific value tilt of the portfolios. Increasing the confidence in the value rankings smoothly exposes a portfolio to the desired value factor.

Keywords: Stock returns, value investing, portfolio optimization, entropy pooling, Kullback-Leibler divergence, asset ranking

JEL Classification: G11, C1