502 citations
- IZA - Institute of Labor EconomicsDE4 papers
- Center for Economic and Policy ResearchUS3 papers
- University of St.GallenCH3 papers
- Institut für Arbeitsmarkt und BerufsforschungDE2 papers
- London Business SchoolGB2 papers
- London School of Economics and Political ScienceGB2 papers
- Tilburg UniversityNL2 papers
- Toulouse School of EconomicsFR2 papers
- Ca' Foscari University of VeniceIT1 paper
- Capital Fund Management (France)FR1 paper
- Central European University - Budapest Campus1 paper
- Centre de Recherche en Économie et StatistiqueFR1 paper
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q-fin.PM2016
The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier +2
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "r…
q-fin.PM2007★ 502 cited
Sparse and stable Markowitz portfolios
Joshua Brodie, Ingrid Daubechies, Christine De Mol +2
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to…