A maximal predictability portfolio using dynamic factor selection strategy

Hiroshi Konno, Yoshihiro Takaya, Rei Yamamoto

研究成果: Article査読

2 被引用数 (Scopus)

抄録

In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio (MPP) model proposed by Lo and MacKinlay and later extended by the authors. We will employ an alternative version of MPP using absolute deviation instead of variance as a measure of fitting and apply a dynamic strategy for choosing the set of factors which fits best to the market data. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.

本文言語English
ページ(範囲)355-366
ページ数12
ジャーナルInternational Journal of Theoretical and Applied Finance
13
3
DOI
出版ステータスPublished - 2010 5月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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