| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7039 |
| 来源ID | Working Paper 7039 |
| On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model | |
| Louis K.C. Chan; Jason Karceski; Josef Lakonishok | |
| 发表日期 | 1999-03-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable results for a heuristic approach based on matching the benchmark's attributes. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w7039 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564561 |
| 推荐引用方式 GB/T 7714 | Louis K.C. Chan,Jason Karceski,Josef Lakonishok. On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7039.pdf（810KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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