Portfolio selection under supply chain predictability

Thomas Trier Bjerring (), Kourosh Marjani Rasmussen () and Alex Weissensteiner ()
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Thomas Trier Bjerring: Technical University of Denmark
Kourosh Marjani Rasmussen: Technical University of Denmark
Alex Weissensteiner: Free University of Bozen - Bolzano

Computational Management Science, 2018, vol. 15, issue 2, No 2, 139-159

Abstract: Abstract We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover, we show that this predictability can be exploited in a mean-variance optimization framework. The calculated out-of-sample portfolio returns are attractive under different return-risk measures, and they show positive risk-adjusted excess returns which are not explained by classical risk factors.

Keywords: Portfolio selection; Supply chain; Return predictability; Fractional programming (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10287-018-0308-y

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