Portfolio models with return forecasting and transaction costs

被引:25
|
作者
Yu, Jing-Rung [1 ]
Chiou, Wan-Jiun Paul [2 ]
Lee, Wen-Yi [3 ]
Lin, Shun-Ji [1 ]
机构
[1] Natl Chi Nan Univ, Dept Informat Management, 1 Univ Rd, Nantou 545, Taiwan
[2] Northeastern Univ, DAmore McKim Sch Business, Finance Grp, 360 Huntington Ave, Boston, MA 02115 USA
[3] Shih Hsin Univ, Dept Finance, 17 Muzha Rd,Sect 1, Taipei 116, Taiwan
关键词
Investment analysis; Portfolio rebalancing; Return forecasting; Multiple objectives; Transaction costs; LINEAR-PROGRAMMING FORMULATION; OPTIMIZATION; PREDICTABILITY; PREMIUM;
D O I
10.1016/j.iref.2019.11.002
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this paper, we advance portfolio models by incorporating return projection and further analyze their realized performance. To ensure practicality, the transaction costs and the optimization of short-selling weights are taken into account in portfolio rebalancing. Using the daily returns of international ETFs over a period of 14 years, the empirical results show that including return forecasting improves the realized performance due to more efficient asset allocation but not a reduction in trading costs. The models that are based on trade-off between return and volatility, such as the mean-variance and Omega models, show higher increases in performance than those mainly focus on controlling loss, such as the linearized value-at-risk, the conditional value-at-risk, and the downside risk. The superiority of forecasting risky portfolios over the equally-weighted diversification varies intertemporarily across various portfolio models. The benefit of inclusion of prediction is larger when the market is less volatile.
引用
收藏
页码:118 / 130
页数:13
相关论文
共 50 条
  • [21] Multi-Period Portfolio Management and a Simple Method for Calculating the Realized Return with Transaction Costs
    Al-Nator M.S.
    Al-Nator S.V.
    [J]. Journal of Mathematical Sciences, 2022, 267 (2) : 234 - 245
  • [22] Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
    Liu, Ren
    Muhle-Karbe, Johannes
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2013, 4 (01): : 203 - 227
  • [23] International equity portfolio allocations and transaction costs
    Thapa, Chandra
    Poshakwale, Sunil S.
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (11) : 2627 - 2638
  • [24] A New Portfolio Rebalancing Model with Transaction Costs
    Wang, Meihua
    Li, Cheng
    Xue, Honggang
    Xu, Fengmin
    [J]. JOURNAL OF APPLIED MATHEMATICS, 2014,
  • [25] Portfolio Analysis with Transaction Costs Under Uncertainty*
    Al-Nator M.S.
    Al-Nator S.V.
    Kasimov Y.F.
    [J]. Journal of Mathematical Sciences, 2016, 214 (1) : 12 - 21
  • [26] The optimal strategy of portfolio selection with transaction costs
    Ye, SQ
    Peng, Y
    [J]. Proceedings of 2005 International Conference on Machine Learning and Cybernetics, Vols 1-9, 2005, : 3480 - 3485
  • [27] Portfolio rebalancing with an investment horizon and transaction costs
    Woodside-Oriakhi, M.
    Lucas, C.
    Beasley, J. E.
    [J]. OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 2013, 41 (02): : 406 - 420
  • [28] THE ATTAINABILITY OF THE PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS
    XU Shimeng(Institute of Applied Mathematics
    [J]. Journal of Systems Science & Complexity, 2000, (03) : 236 - 241
  • [29] Portfolio optimization with linear and fixed transaction costs
    Miguel Sousa Lobo
    Maryam Fazel
    Stephen Boyd
    [J]. Annals of Operations Research, 2007, 152 : 341 - 365
  • [30] Portfolio optimisation with transaction costs and exponential utility
    Korn, R
    Laue, S
    [J]. STOCHASTIC PROCESSES AND RELATED TOPICS, 2002, 12 : 171 - 188