Backtesting Optimal Portfolios based on Forecasting Models
An empirical study on the US equity market
- Editore:
AV Akademikerverlag
- EAN:
9783639491456
- ISBN:
3639491459
- Pagine:
- 220
- Formato:
- Paperback
- Lingua:
- Tedesco
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Descrizione Backtesting Optimal Portfolios based on Forecasting Models
This book shows that, given a simple linear model for trading-costs, portfolios with short holding periods (weekly or biweekly) cannot outperform the underlying index (S&P 100). There is empirical evidence that monthly restructuring leads to the optimal trade-off between superior performance and higher trading-costs. Additionally, it is shown that linear forecasting is not a useful tool for portfolio optimization. The empirical analysis points out that a portfolio with forecasts can almost never outperform a portfolio without forecasts in the long-run. In the short-run, however, it might be possible, but only in a stable environment where no jumps in the stock price occur.
Fuori catalogo - Non ordinabile
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