Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs

被引:28
|
作者
DeMiguel, Victor [1 ]
Martin-Utrera, Alberto [2 ]
Nogales, Francisco J. [3 ]
机构
[1] London Business Sch, London NW1 4SA, England
[2] Univ Lancaster, Sch Management, Lancaster LA1 4YX, England
[3] Univ Carlos III Madrid, E-28903 Getafe, Madrid, Spain
关键词
ASSET PRICING-MODELS; INVESTMENT; SELECTION; RISK; CHOICE; PERFORMANCE; CONSUMPTION; RETURNS;
D O I
10.1017/S002210901500054X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the impact of parameter uncertainty on the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss and another term that captures the effects of the multiperiod mean-variance utility and transaction cost losses. To mitigate the impact of parameter uncertainty, we propose two multiperiod shrinkage portfolios and demonstrate with simulated and empirical data sets that they substantially outperform portfolios that ignore parameter uncertainty, transaction costs, or both.
引用
收藏
页码:1443 / 1471
页数:29
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