Model scan and optimal portfolio choice in European stock returns

Tools

Marshall, Andrew and Fletcher, Jonathan and O'Connell, Michael (2025) Model scan and optimal portfolio choice in European stock returns. European Journal of Finance. ISSN 1351-847X (In Press)

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Abstract

This study examines the performance benefits of using the best linear factor models from the Bayesian model scan of Chib, Zhao and Zhou(2024) in optimal mean-variance European regional factor strategies. The study finds that using the best models from the model scan delivers significant out-of-sample performance benefits relative to two benchmark models. Our study also finds that strategies that use the best models from the model scan also perform well relative to strategies based on stand-alone factor models.

ORCID iDs

Marshall, Andrew ORCID logoORCID: https://orcid.org/0000-0001-7081-1296, Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145 and O'Connell, Michael;
CORE (COnnecting REpositories)