Financial anomalies in portfolio construction and management

H Markowitz, J Guerard, G Xu… - The Journal of Portfolio …, 2021 - jpm.pm-research.com
Financial anomalies have been studied in the United States. Recent evidence suggests that
financial anomalies have diminished in the United States and possibly in non-US portfolios …

Predictive blends: fundamental indexing meets markowitz

S Pysarenko, V Alexeev, F Tapon - Journal of Banking & Finance, 2019 - Elsevier
When constructing a portfolio of stocks, do you turn a blind eye to the firms' future outlooks
based on careful consideration of companies' fundamentals, or do you ignore the stocks' …

The development and evolution of mean-variance efficient portfolios in the US and Japan: 30 years after the Markowitz and Ziemba applications

J Guerard - Available at SSRN, 2023 - papers.ssrn.com
Abstract In 1992, John Mulvey co-edited a Special Issue, entitled “Financial Engineering”, in
the Annals of Operations Research. In that issue, Guerard, Takano, and Yamane (1992) …

Truly active management requires a commitment to excellence: Portfolio construction and management with FactSet

B Beheshti, JB Guerard Jr, C Mercs - Handbook of Applied …, 2020 - World Scientific
Financial anomalies have been studied in the US Recent evidence suggests that financial
anomalies have diminished in the US and possibly in non-US portfolios. Have the …

Active quant: Applied investment research in emerging markets

JB Guerard, S Chettiappan - The Journal of Investing, 2017 - joi.pm-research.com
Active quantitative models for stock selection use analysts' expectations, momentum, and
fundamental data. The authors find support for simple and regression-based composite …

The Development and Evolution of Mean-Variance Efficient Portfolios in Japan: 30 Years After

J Guerard, B Beheshti - Available at SSRN 4572836, 2023 - papers.ssrn.com
The early 1990s was a period of expanding interest in Japanese financial research. In 1993,
John Mulvey co-edited a Special Issue, entitled “Financial Engineering”, in the Annals of …

The Development of Mean-Variance Efficient Portfolios: 30 Years Later

S Chava, JB Guerard - The Journal of Investing, 2022 - joi.pm-research.com
In 1992, in the initial year of this journal's publication, Guerard and Takano reported mean-
variance efficient portfolios for the Japanese and US equity markets and showed that the …

Stock Selection Modeling and Portfolio Selection in Emerging Markets.

JB Guerard Jr, RA Gillam… - Journal of Portfolio …, 2022 - search.ebscohost.com
This article addresses stock selection modeling and portfolio selection and implementation
in EMs. The authors view EM investing as a special case of global investing, demonstrating …

Risk and Return of Equity, the Capital Asset Pricing Model, and Stock Selection for Efficient Portfolio Construction

JB Guerard Jr, A Saxena, MN Gültekin - Quantitative Corporate Finance, 2022 - Springer
Individual investors must be compensated for bearing risk. It seems intuitive to the reader
that there should be a direct linkage between the risk of a security and its rate of return. We …

Active Management in Portfolio Selection and Management Within Business Cycles and Present-Day COVID

JB Guerard - The Leading Economic Indicators and Business Cycles …, 2022 - Springer
Active Management in Portfolio Selection and Management Within Business Cycles and
Present-Day COVID | SpringerLink Skip to main content Advertisement SpringerLink Account …