摘要：In this paper, we apply a new factor model to portfolio-selection problems and compareits portfolio investment performance with those of other popular portfolio-selection methods.The new factors are formed from a well-characterized subset of the asset universe based onfirm characteristics and exhibit better asset-pricing performance than popular extantasset-pricing factors. The performance comparison shows that the new factors exhibit betterportfolio investment performance than alternative methods for various test portfolios andvarious periods.
