Model scan and optimal portfolio choice in European stock returns
研究使用贝叶斯模型扫描得到的最佳线性因子模型，在欧洲区域因子策略中实现最优均值方差投资组合，发现其样本外表现优于基准模型和传统因子模型。
This study examines the performance benefits of using the best linear factor models from the Bayesian model scan of Chib, Zhao, and Zhou [2024. “Winners from Winners: A Tale of Risk Factors.” Management Science 70:396–414] 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 traditional factor models.