Title:

Revisiting Fama-French Factors' Predictability with Bayesian Modelling and Copula-Based Portfolio Optimization

Authors:

Yang Zhao (Central University of Finance and Economics, Beijing)
Charalampos Stasinakis (U Glasgow)
Georgios Sermpinis (U Glasgow)
Filipa Da Silva Fernandes (U Aberdeen)

Journal:

International Journal Of Finance And Economics

Year:

2019

Volume:

24

Number:

4

Pages:

1443-1463

JEL code:

G11 - Portfolio Choice; Investment Decisions