| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9456 |
| DP9456 Stock Return Serial Dependence and Out-of-Sample Portfolio Performance | |
| Victor DeMiguel | |
| 发表日期 | 2013-04-28 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We study whether investors can exploit stock return serial dependence to improve out-of- sample portfolio performance. To do this, we first show that a vector-autoregressive (VAR) model estimated with ridge regression captures daily stock return serial dependence in a stable manner. Second, we characterize (analytically and empirically) expected returns of VAR-based arbitrage portfolios, and show that they compare favorably to those of existing arbitrage portfolios. Third, we evaluate the performance of VAR-based investment (positive-cost) portfolios. We show that, subject to a suitable norm constraint, these portfolios outperform the traditional (unconditional) portfolios for transaction costs below 10 basis points. |
| 主题 | Financial Economics |
| 关键词 | Out-of-sample performance Portfolio choice Serial dependence Vector autoregression |
| URL | https://cepr.org/publications/dp9456 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538290 |
| 推荐引用方式 GB/T 7714 | Victor DeMiguel. DP9456 Stock Return Serial Dependence and Out-of-Sample Portfolio Performance. 2013. |
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