TY - JOUR T1 - Mean-ETL Optimization of a Global Portfolio JF - The Journal of Investing SP - 115 LP - 119 DO - 10.3905/joi.2013.22.4.115 VL - 22 IS - 4 AU - Barret Pengyuan Shao AU - Svetlozar T. Rachev Y1 - 2013/11/30 UR - https://pm-research.com/content/22/4/115.abstract N2 - In this article, the authors examine the mean-expected tail loss (ETL) portfolio optimization of global portfolios using a global expected return (GLER) model, which is based on fundamental data of companies. Empirically, they show that for the 2003–2011 period, mean-ETL portfolios based on a GLER model could generate statistically significant active returns. Also, they show that the GLER model active return dominates the United States expected returns model active returns for the same periods. The global markets offer greater opportunities than the U.S. markets.TOPICS: Fundamental equity analysis, portfolio construction ER -