A semiparametric graphical modelling approach for large-scale equity selection.

Abstract

We propose a new stock selection strategy that exploits rebalancing returns and improves portfolio performance. To effectively harvest rebalancing gains, we apply ideas from elliptical-copula graphical modelling and stability inference to select stocks that are as independent as possible. The proposed elliptical-copula graphical model has a latent Gaussian… (More)
DOI: 10.1080/14697688.2015.1101149

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