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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Shrnutí: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.
Bibliografie:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0217-5959
1793-7019
0217-5959
DOI:10.1142/S0217595910002521