Optimizing Net Stock Portfolio Performance?
December 13, 2024 - Strategic Allocation, Technical Trading
Can expected trading frictions, as derived from trading volume forecasts, materially improve active stock portfolio net performance? In the May 2024 version of their paper entitled “Trading Volume Alpha”, flagged by a subscriber, Ruslan Goyenko, Bryan Kelly, Tobias Moskowitz, Yinan Su and Chao Zhang explore optimization of net stock portfolio performance by accounting for expected… Keep Reading