A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT

作者：Takaya Yoshihiro; Konno Hiroshi^*

来源：Asia Pacific Journal of Operational Research, 2010, 27(1): 1-13.

DOI：10.1142/S0217595910002521

• Maximal predictability portfolio
• factor model
• nonconvex minimization problem
• absolute deviation
• 0-1 integer programming
• turnover constraint
• transaction cost

The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.

• 出版日期2010-2