| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10996 |
| 来源ID | Working Paper 10996 |
| Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns | |
| Michael W. Brandt; Pedro Santa-Clara; Rossen Valkanov | |
| 发表日期 | 2004-12-20 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. Our approach also provides a new test of the portfolio choice implications of equilibrium asset pricing models. We present an empirical implementation for the universe of all stocks in the CRSP-Compustat dataset, exploiting the size, value, and momentum anomalies. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w10996 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568631 |
| 推荐引用方式 GB/T 7714 | Michael W. Brandt,Pedro Santa-Clara,Rossen Valkanov. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10996.pdf（375KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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