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.
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页码:118 / 130
页数:13
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