{"product_id":"backtesting-optimal-portfolios-based-on-forecasting-models-von-stephan-kranner-und-michael-christl","title":"Backtesting Optimal Portfolios based on Forecasting Models","description":"\u003cp\u003eThis 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\u0026amp;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.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783639491456\"\u003e\u003ch3\u003eAn empirical study on the US equity market\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783639491456","offer_id":39482458931293,"sku":"9783639491456","price":45.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/1db4ff7c-ac85-4723-99b0-79987f25b09f.jpg?v=1776054412","url":"https:\/\/shop.autorenwelt.de\/products\/backtesting-optimal-portfolios-based-on-forecasting-models-von-stephan-kranner-und-michael-christl","provider":"Autorenwelt Shop","version":"1.0","type":"link"}