A maximal predictability portfolio using dynamic factor selection strategy

Hiroshi Konno, Yoshihiro Takaya, Rei Yamamoto

研究成果: Article

2 引用 (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.

元の言語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
発行部数3
DOI
出版物ステータスPublished - 2010 5 1
外部発表Yes

Fingerprint

Dynamic factor
Predictability
Factors
Deviation
Dynamic strategy
Portfolio model
Market data

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

これを引用

A maximal predictability portfolio using dynamic factor selection strategy. / Konno, Hiroshi; Takaya, Yoshihiro; Yamamoto, Rei.

:: International Journal of Theoretical and Applied Finance, 巻 13, 番号 3, 01.05.2010, p. 355-366.

研究成果: Article

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