An Empirical Assessment of Characteristics and Optimal Portfolios

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2024-03-18 DOI:10.1093/rapstu/raae006

Christopher G Lamoureux, Huacheng Zhang

引用次数: 0

Abstract

We implement a dynamically regularized, bootstrapped two-stage out-of-sample parametric portfolio policy to evaluate characteristics’ efficacy in the conditional stock return-generating process in the metric of expected power utility. Traditional characteristics, such as momentum and size afforded large utility gains before 1999. These opportunities have since vanished. Overfitting—imprecision in weight estimation—is correlated with the optimal portfolio’s variance. Therefore, it is not a problem for power utility investors with coefficients of relative aversion greater than four. For more risk-tolerant investors, we successfully reduce estimation error by increasing the curvature of the loss function relative to the investor’s utility function. (JEL L200; C110; C350)

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特征和最佳投资组合的经验评估

我们采用动态正则化、自引导的两阶段样本外参数组合策略，以预期功率效用为指标，评估特征在条件股票回报生成过程中的功效。1999 年之前，动量和规模等传统特征带来了巨大的效用收益。这些机会自此消失。过度拟合--权重估计不精确--与最优投资组合的方差相关。因此，对于相对厌恶系数大于 4 的电力效用投资者来说，这不是一个问题。对于风险承受能力更强的投资者，我们通过增加损失函数相对于投资者效用函数的曲率，成功地减少了估计误差。(JEL L200; C110; C350)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.