Modelling fundamental analysis in portfolio selection

DOI10.1080/14697688.2017.1418520zbMath1400.91573OpenAlexW2792649517MaRDI QIDQ4554497

Huazhu Zhang, Cheng Yan

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/23770/1/23770.pdf

zbMATH Keywords

mean-reversionportfolio selectionfundamental analysisappraisal/information ratio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

A multivariate Markov chain stock model ⋮ m-Double Poisson Lévy markets

Cites Work

• A jump model for fads in asset prices under asymmetric information
• A discontinuous mispricing model under asymmetric information
• Investment under alternative return assumptions
• Asymmetric information in fads models
• On the non-equilibrium density of geometric mean reversion
• A mispricing model of stocks under asymmetric information
• An Intertemporal Capital Asset Pricing Model
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method

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