119977 20240319081025.0 doi 10.1080/14697688.2022.2094282 sideral 130776 ART-2022-130776 eng McGee, Richard J. Optimal characteristic portfolios 2022 Access copy available to the general public Unrestricted Characteristic-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. info:eu-repo/grantAgreement/ES/MICINN/PID2019-104326GB-I00 info:eu-repo/semantics/openAccess by-nc-nd http://creativecommons.org/licenses/by-nc-nd/3.0/es/ 1.3 2022 ECONOMICS 271 / 380 = 0.713 2022 Q3 T3 SOCIAL SCIENCES, MATHEMATICAL METHODS 37 / 53 = 0.698 2022 Q3 T3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS 81 / 107 = 0.757 2022 Q4 T3 BUSINESS, FINANCE 91 / 111 = 0.82 2022 Q4 T3 0.715 2022 Economics, Econometrics and Finance (miscellaneous) 2022 Q1 Finance 2022 Q2 3.6 2022 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Olmo, José (orcid)0000-0002-0437-7812 4002 230 Universidad de Zaragoza Dpto. Contabilidad y Finanzas Área Economía Finan. y Contab. 22, 10 (2022), 1853-1870 Quant. financ. Quantitative Finance 1469-7688 2265841 http://zaguan.unizar.es/record/119977/files/texto_completo.pdf Versión publicada 815808 http://zaguan.unizar.es/record/119977/files/texto_completo.jpg?subformat=icon icon Versión publicada oai:zaguan.unizar.es:119977 articulos driver 2024-03-18-16:40:21 ARTICLE