INVESTMENT STRATEGIES BASED ON ANOMALIES

This study examines the performance of anomalies investment strategies based on historical sample model, market model, Fama & French model and constant correlation model inputs for Global Minimum Variance and Maximum Sharpe ratio portfolios when applied to the S&P500 stocks between 1999 and 2010. In addition, to reduce errors in mean and covariance estimations we implement different techniques that are based on Ledoit-Wolf and BayesStein approaches.