Price contingent and price-volume contingent portfolio strategies

Alain Guéniche (), Philippe Dupuy and Wan Ni Lai
Additional contact information
Alain Guéniche: Grenoble Ecole de Management
Philippe Dupuy: Grenoble Ecole de Management
Wan Ni Lai: SKEMA Business School

Journal of Asset Management, 2023, vol. 24, issue 3, No 2, 173-183

Abstract: Abstract Using a partially revealing dynamic equilibrium model, investors adjust their estimates of the expected returns through the price discovery process (past price dynamics) and consequently implement price contingent portfolios based on these estimates. We implement the price contingent portfolio on the U.S. stock market and compare its performance with other common portfolio strategies. We also consider the price-volume contingent strategy, estimating the expected return and covariance matrix from both the past price and observed volume dynamics. We find that these signal-based portfolios outperform the capitalization and equal weighted strategies. They also provide appealing diversification benefits compared to common optimization-based portfolios.

Keywords: Passive strategies; Portfolio construction; Information asymmetry (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/s41260-023-00304-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00304-5

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-023-00304-5

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().