Asset Selection Using a Factor Model and Data Envelopment Analysis– A Quantile Regression Approach
27.2.1 Fama–French three-factor model
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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