A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT

The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to t...

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Vydáno v:Asia-Pacific journal of operational research Ročník 27; číslo 1; s. 1 - 13
Hlavní autoři: TAKAYA, YOSHIHIRO, KONNO, HIROSHI
Médium: Journal Article
Jazyk:angličtina
Vydáno: Singapore World Scientific Publishing Co. & Operational Research Society of Singapore 01.02.2010
World Scientific Publishing Co. Pte., Ltd
Témata:
Indexes
Integer programming
Operations research
Studies
Transaction costs
Maximal predictability portfolio
nonconvex minimization problem
absolute deviation
turnover constraint
factor model
0-1 integer programming
transaction cost
ISSN:0217-5959, 1793-7019, 0217-5959
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Abstract The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.
AbstractList The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index. [PUBLICATION ABSTRACT]
The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.
Author KONNO, HIROSHI
TAKAYA, YOSHIHIRO
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  email: konno@indsys.chuo-u.ac.jp
  organization: Department of Industrial and Systems Engineering, Chuo University, Japan
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Keywords Maximal predictability portfolio
nonconvex minimization problem
absolute deviation
turnover constraint
factor model
0-1 integer programming
transaction cost
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SubjectTerms Indexes
Integer programming
Operations research
Studies
Transaction costs
Title A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
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