A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT

Yoshihiro Takaya and Hiroshi Konno ()
Additional contact information
Yoshihiro Takaya: Department of Industrial and Systems Engineering, Chuo University, Japan
Hiroshi Konno: Department of Industrial and Systems Engineering, Chuo University, Japan

Asia-Pacific Journal of Operational Research (APJOR), 2010, vol. 27, issue 01, 1-13

Abstract: The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.

Keywords: Maximal predictability portfolio; factor model; nonconvex minimization problem; absolute deviation; 0-1 integer programming; turnover constraint; transaction cost (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217595910002521
Access to full text is restricted to subscribers

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:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002521

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217595910002521

Access Statistics for this article

Asia-Pacific Journal of Operational Research (APJOR) is currently edited by Gongyun Zhao

More articles in Asia-Pacific Journal of Operational Research (APJOR) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().