Home / Research / Publication
Thesis
· 2010
Tactical Asset Allocation with Return Generating Model: The Alpha Strategy
Phothisane, S.
MBA thesis, Mahidol University International College
Abstract
Tests four portfolio strategies built from positive-alpha securities. Mean-Variance outperformed Single Index, CAPM and Three-Factor models.
Key findings
Portfolios built from positive-alpha stocks with Mean-Variance weights gave the best risk-adjusted returns.
How to cite
Phothisane, S. (2010). Tactical asset allocation with return generating model: The alpha strategy [Master’s thesis, Mahidol University International College].
BibTeX
@mastersthesis{phothisane2010alpha,
title={Tactical Asset Allocation with Return Generating Model: The Alpha Strategy},
author={Phothisane, S.},
school={Mahidol University International College},
year={2010}
}
At a glance
Type
Thesis
Year
2010
Authors
Phothisane, S.
Published in
MBA thesis, Mahidol University International College