优化vs.基于分类的投资组合

ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-12-10 DOI:10.2139/ssrn.1327004

Gerard Hoberg, I. Welch

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引用次数: 13

摘要

因子和测试组合可以通过优化目标函数来形成，而不是通过排序。优化是更节省和灵活的，投资组合的回报可以更容易地找到。我们的方法有效地结合了Fama和MacBeth(1973)横断面方法和Black、Jensen和Scholes(1971)的时间序列方法的一些优点。我们的论文表明，优化的投资组合可以产生影响:它们逆转了Daniel和Titman(1997)以及Davis、Fama和French(2000)的推论。

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Optimized vs. Sort-Based Portfolios

Factors and test portfolios can be formed by optimizing objective functions instead of by sorting. Optimizing is more parsimonious and flexible, and the portfolio returns can be easier to find. Our approach effectively marries some advantages of the Fama and MacBeth (1973) cross-sectional approach with those of the time-series approach in Black, Jensen, and Scholes (1971). Our paper shows that optimized portfolios can make a difference: they reverse the inference in Daniel and Titman (1997) and Davis, Fama, and French (2000).

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ERN: Time-Series Models (Single) (Topic)

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