Maximizing excess return per unit variance: A novel investment management objective

被引：0

作者：

Glabadanidis P. ^{[1
]}

机构：

[1] Department of Accounting and Finance, Business School, Finance Discipline, University of Adelaide, Level 12, 10 Pulteney Street, Adelaide, 5005, SA

来源：

Journal of Asset Management | 2016年 / 17卷 / 7期

关键词：

Active return; Factor models of expected returns; Minimum variance portfolio weights; Risk premia; Tangent portfolio weights; Tracking error;

D O I：

10.1057/jam.2016.11

中图分类号：

学科分类号：

摘要：

I propose a novel investment objective for portfolios fully invested in risky assets only. The new objective is based on achieving the highest possible excess return per unit of variance. The optimal portfolio is a linear combination of the tangent portfolio and the minimum variance portfolio where the weights are inversely proportional to the standard deviation of the return of each portfolio. Using a standard factor model of securities' returns, I provide an empirical application of the optimal portfolio and show that it performs quite well out-of-sample relative to the maximum Sharpe ratio portfolio as well as the minimum variance portfolio. © 2016 Macmillan Publishers Ltd.

引用

页码：486 / 501

页数：15