Abstract
This study examines the performance benefits of using the best linear factor models from the Bayesian model scan of Chib, Zhao, and Zhou [2024. “Winners from Winners: A Tale of Risk Factors.” Management Science 70:396–414] in optimal mean-variance European regional factor strategies. The study finds that using the best models from the model scan delivers significant out-of-sample performance benefits relative to two benchmark models. Our study also finds that strategies that use the best models from the model scan also perform well relative to strategies based on traditional factor models.
Original language | English |
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Pages (from-to) | 1-18 |
Number of pages | 18 |
Journal | European Journal of Finance |
Early online date | 18 May 2025 |
DOIs | |
Publication status | Published - 18 May 2025 |
Keywords
- Markowitz Mean-Variance
- Bayesian analysis
- European factors