All Outputs (2)

Predicting stock returns and assessing prediction performance (2007)
Journal Article
Baker, R., & Belgorodski, A. (2007). Predicting stock returns and assessing prediction performance. IMA Journal of Management Mathematics, 18(4), 413-433. https://doi.org/10.1093/imaman/dpm023

We use regression methods to predict the expected monthly return on stocks and the covariance matrix of returns, the predictor variables being a company's ‘fundamentals’, such as dividend yield and the history of previous returns. Predictions are eva... Read More about Predicting stock returns and assessing prediction performance.

Statistical aspects of the portfolio construction programme (2007)
Thesis
Belgorodski, A. Statistical aspects of the portfolio construction programme. (Thesis). Salford : University of Salford

The area of finance poses many challenging problems to the decision maker. One of them is the modelling of the expected return on stocks and the covariance matrix of returns. This thesis approaches the decision problem of choosing an optimum portfo... Read More about Statistical aspects of the portfolio construction programme.