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Get Optimal Portfolios From Ordering Information 2012-2024

Tioners have associated both rm characteristics and recent price history to expected returns in a manner that naturally gives rise to ordering information (Fama and French, 1992; Fama and French, 1996; Daniel and Titman, 1997; Daniel and Titman, 1998; Banz 1981; Campbell, Grossman, and Wang 1993). If only ordering information is given, there is no obvious objective function. One may construct an objective function in one of several ways, including estimating expected returns from the data tha.

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