文章基本信息

标题：Asset Attribution Stability And Portfolio Construction: An Educational Example
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作者：James T. Chong ; William P. Jennings ; G. Michael Phillips 等
期刊名称：American Journal of Business Education
电子版ISSN：1942-2512
出版年度：2014
卷号：7
期号：2
页码：115-120
DOI：10.19030/ajbe.v7i2.8470
语种：English
出版社：Clute Institute for Academic Research
摘要：This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated.
其他摘要：This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated.
关键词：R-Squared;Attribution Stability;Portfolio Construction
其他关键词：R-Squared;Attribution Stability;Portfolio Construction