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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Bibliographic Details
Published in:	Asia-Pacific journal of operational research Vol. 27; no. 1; pp. 1 - 13
Main Authors:	TAKAYA, YOSHIHIRO, KONNO, HIROSHI
Format:	Journal Article
Language:	English
Published:	Singapore World Scientific Publishing Co. & Operational Research Society of Singapore 01.02.2010 World Scientific Publishing Co. Pte., Ltd
Subjects:	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
Online Access:	Get full text
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