By S. P. Kothari
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Using All Three Anomaly Strategies. In this section, we consider optimal portfolio formation using two sets of risky assets: (1) the stock market index, large companies, value companies, and high-momentum companies and (2) the stock market index, the size spread (large – small), the value spread (high BV/MV – low BV/MV), and the momentum spread (winners – losers). The individual risk and return characteristics of these assets were examined in the “Optimal Portfolio Tilts” section. Also relevant to the joint optimization problem are the correlations between portfolio residual returns.
Anomalies and Efficient Portfolio Formation by S. P. Kothari