arXiv q-fin· Oskar Ed\'en Wallberg, Alexander Karolin·· 6 hr agoAI Score70
arXiv Paper: Simple Portfolios for Individual Investors Can Achieve Stable and Considerable Returns
Simple Portfolios that Deliver Consistent Decent Returns
AI summary
This is a 71-page empirical study where authors Oskar Edén Wallberg and Alexander Karolin model portfolio construction as a convex optimization problem using a small set of investable U.S. liquid ETFs, under constraints of no short selling, no leverage, monthly trading, and transaction costs, with all parameters interpretable.
Source:arXiv q-fin · arxiv.org
Academic papers#Papers / Research#Portfolio Construction#Backtesting#Factor Investing#US Stocks#arXiv