Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01mp48sc95t
 Title: Can Alternative Dogs of the Dow Beat Hedge Funds? Authors: He, Julian Advisors: Mulvey, John Department: Operations Research and Financial Engineering Class Year: 2014 Abstract: Previous studies have shown the consistent and significant positive return differentials between high-ranked and low-ranked stocks using reversal, value, momentum, beta, growth and contrarian policies. This research serves as an extension of these studies and empirically assesses the performance of these six policies and the optimal portfolio of these policies with an investment universe of DJIA stocks only from 1993 to 2013. With the objective of outperforming the long-short equity hedge fund benchmark, we are able to find policies and/or optimal portfolios that track and outperform hedge funds using in-sample and out-of-sample testing. Extent: 112 URI: http://arks.princeton.edu/ark:/88435/dsp01mp48sc95t Type of Material: Princeton University Senior Theses Language: en_US Appears in Collections: Operations Research and Financial Engineering, 2000-2016

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