In my last post I introduced Fundamental Return Moment Estimation. This short post applies the resulting estimates to build superior minimum variance portfolios. Both standard mean-variance-, as well as minimum variance portfolio optimization suffer from…

Stock returns are notoriously noisy and as a result, little can be learned from historical data. One of the major buidling blocks of academic finance, the Markowitz portfolio optimization with its mean-variance framework is rarely…

In this post, I want to introduce local effects in the cross-section of stock returns. Different from risk factors/ market anomalies, calculated using raw (global) measures, local measures that relate single stocks to their peers…