| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9461 |
| 来源ID | Working Paper 9461 |
| Diversification and the Optimal Construction of Basis Portfolios | |
| Bruce N. Lehmann; David M. Modest | |
| 发表日期 | 2003-01-27 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Nontrivial diversification possibilities arise when a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors underlying security returns. Three main conclusions emerge from our study. First, increasing the number of securities included in the analysis dramatically improves basis portfolio performance. Our results indicate that factor models involving 750 securities provide markedly superior performance to those involving 30 or 250 securities. Second, comparatively efficient estimation procedures such as maximum likelihood and restricted maximum likelihood factor analysis (which imposes the APT mean restriction) significantly outperform the less efficient instrumental variables and principal components procedures that have been proposed in the literature. Third, a variant of the usual Fama-MacBeth portfolio formation procedure, which we call the minimum idiosyncratic risk portfolio formation procedure, outperformed the Fama-MacBeth procedure and proved equal to or better than more expensive quadratic programming procedures. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9461 |
| 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/567080 |
| 推荐引用方式 GB/T 7714 | Bruce N. Lehmann,David M. Modest. Diversification and the Optimal Construction of Basis Portfolios. 2003. |
| 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 | ||
| w9461.pdf（830KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
