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Backtesting Optimal Portfolios Based on Forecasting Models
Kranner Stephan; Michael Christl (Author)
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Av Akademikerverlag
· Paperback
Backtesting Optimal Portfolios Based on Forecasting Models - Kranner Stephan; Michael Christl
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Origin: Spain
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Tuesday, July 09.
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Synopsis "Backtesting Optimal Portfolios Based on Forecasting Models"
This book shows that, given a simple linear model for trading-costs, portfolios with short holding periods (weekly or biweekly) cannot outperform the underlying index (S&P 100). There is empirical evidence that monthly restructuring leads to the optimal trade-off between superior performance and higher trading-costs. Additionally, it is shown that linear forecasting is not a useful tool for portfolio optimization. The empirical analysis points out that a portfolio with forecasts can almost never outperform a portfolio without forecasts in the long-run. In the short-run, however, it might be possible, but only in a stable environment where no jumps in the stock price occur.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
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