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Alan Cummings

Aperio Group

3 Harbor Drive

Suite 315

Sausalito, CA 94965

United States

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Scholarly Papers (1)

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Optimizing Value

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2016.42.2.077
Posted: 22 May 2019
Ran Leshem, Lisa R. Goldberg and Alan Cummings
Aperio Group, University of California, Berkeley and Aperio Group

Abstract:

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Value, book-to-price, earnings-to-price, blended value strategy, optimized strategy, rank-and-chop strategy, sector constraint, tracking error, turnover