What difference do new factor models make in portfolio allocation?

被引：1

作者：

Fabozzi, Frank J. ^{[1
]}

Huang, Dashan ^{[2
]}

Jiang, Fuwei ^{[3
]}

Wang, Jiexun ^{[4
]}

机构：

[1] EDHEC Business Sch, 393 Promenade des Anglais BP3116, F-06202 Nice 3, France

[2] Singapore Management Univ, Lee Kong Chian Sch Business, Singapore 178899, Singapore

[3] Cent Univ Finance & Econ, Sch Finance, Beijing 100018, Peoples R China

[4] P&G Singapore Innovat Ctr, 70 Biopolis St, Singapore 138547, Singapore

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2024年 / 140卷

基金：

中国国家自然科学基金;

关键词：

Portfolio allocation; Mean-variance analysis; Factor model; Asset pricing; ASSET PRICING-MODELS; NAIVE DIVERSIFICATION; UNCERTAINTY; PARAMETER; SELECTION; ANOMALIES; CHOICE; RISK; OPTIMIZATION; PERFORMANCE;

D O I：

10.1016/j.jimonfin.2023.102997

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in-and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.

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页数：20

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