Asset Selection Using a Factor Model and Data Envelopment Analysis– A Quantile Regression Approach

David E. Allen, Abhay Kumar Singh and Robert J. Powell

Edith Cowan University

Chapter Outline

27.1 Introduction

The main objective of asset selection for any portfolio manager is to select stocks that can form a portfolio with higher expected returns for given risk levels. The level of risk associated with the assets, stocks in our case, becomes a major deciding factor when choosing stocks from the ever-expanding universe of available stocks in the market. Markowitz (1952) ...

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