000119977 001__ 119977 000119977 005__ 20240319081025.0 000119977 0247_ $$2doi$$a10.1080/14697688.2022.2094282 000119977 0248_ $$2sideral$$a130776 000119977 037__ $$aART-2022-130776 000119977 041__ $$aeng 000119977 100__ $$aMcGee, Richard J. 000119977 245__ $$aOptimal characteristic portfolios 000119977 260__ $$c2022 000119977 5060_ $$aAccess copy available to the general public$$fUnrestricted 000119977 5203_ $$aCharacteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset pricing models. We propose a new method for their estimation that is simple to compute, makes no ex-ante assumption on the nature of the relationship between the characteristic and returns, and does not require ad hoc selections of percentile breakpoints or portfolio weighting schemes. Characteristic portfolio weights are implied directly from data, through maximizing a Mean–Variance objective function with mean and variance estimated non-parametrically from the cross-section of assets. To illustrate the method, we evaluate the size, value and momentum anomalies and find overwhelming empirical evidence of the outperformance of our methodology compared to standard methods for constructing characteristic-sorted portfolios. 000119977 536__ $$9info:eu-repo/grantAgreement/ES/MICINN/PID2019-104326GB-I00 000119977 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/ 000119977 590__ $$a1.3$$b2022 000119977 592__ $$a0.715$$b2022 000119977 591__ $$aECONOMICS$$b271 / 380 = 0.713$$c2022$$dQ3$$eT3 000119977 593__ $$aEconomics, Econometrics and Finance (miscellaneous)$$c2022$$dQ1 000119977 591__ $$aSOCIAL SCIENCES, MATHEMATICAL METHODS$$b37 / 53 = 0.698$$c2022$$dQ3$$eT3 000119977 593__ $$aFinance$$c2022$$dQ2 000119977 591__ $$aMATHEMATICS, INTERDISCIPLINARY APPLICATIONS$$b81 / 107 = 0.757$$c2022$$dQ4$$eT3 000119977 591__ $$aBUSINESS, FINANCE$$b91 / 111 = 0.82$$c2022$$dQ4$$eT3 000119977 594__ $$a3.6$$b2022 000119977 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion 000119977 700__ $$0(orcid)0000-0002-0437-7812$$aOlmo, José 000119977 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab. 000119977 773__ $$g22, 10 (2022), 1853-1870$$pQuant. financ.$$tQuantitative Finance$$x1469-7688 000119977 8564_ $$s2265841$$uhttps://zaguan.unizar.es/record/119977/files/texto_completo.pdf$$yVersión publicada 000119977 8564_ $$s815808$$uhttps://zaguan.unizar.es/record/119977/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada 000119977 909CO $$ooai:zaguan.unizar.es:119977$$particulos$$pdriver 000119977 951__ $$a2024-03-18-16:40:21 000119977 980__ $$aARTICLE