| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27388 |
| 来源ID | Working Paper 27388 |
| Principal Portfolios | |
| Bryan T. Kelly; Semyon Malamud; Lasse H. Pedersen | |
| 发表日期 | 2020-06-22 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We propose a new asset-pricing framework in which all securities’ signals are used to predict each individual return. While the literature focuses on each security’s own-signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability—leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a “prediction matrix,” which we call “principal portfolios.” Second, we decompose the problem into alpha and beta, yielding optimal strategies with, respectively, zero and positive factor exposure. Third, we provide a new test of asset pricing models. Empirically, principal portfolios deliver significant out-of-sample alphas to standard factors in several data sets. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w27388 |
| 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/585061 |
| 推荐引用方式 GB/T 7714 | Bryan T. Kelly,Semyon Malamud,Lasse H. Pedersen. Principal Portfolios. 2020. |
| 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 | ||
| w27388.pdf（608KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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