Huerta, Ramon; Corbacho, Fernando; Elkan, Charles - In: Algorithmic Finance 2 (2013) 1, pp. 45-58
sales. The Global Industry Classification Standard is used to build a model for each sector such that a total of 8 long-short … portfolios for Energy, Materials, Industrials, Consumer Discretionary, Consumer Staples, Health Care, Financials, and Information …