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Beschreibung
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.
An empirical study on the US equity market
Details
| Verlag | AV Akademikerverlag |
| Ersterscheinung | 29. Januar 2014 |
| Maße | 22 cm x 15 cm x 1.4 cm |
| Gewicht | 346 Gramm |
| Format | Softcover |
| ISBN-13 | 9783639491456 |
| Seiten | 220 |
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