Certain literature that constructs a multifactor stock selection model adopted a weighted‑scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weights of stock‑picking concepts and portfolio performances. Second, it cannot provide...

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The...