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Portfolio selection under supply chain predictability

Author

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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)

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.

Suggested Citation

  • Thomas Trier Bjerring & Kourosh Marjani Rasmussen & Alex Weissensteiner, 2018. "Portfolio selection under supply chain predictability," Computational Management Science, Springer, vol. 15(2), pages 139-159, June.
    • Handle: RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0308-y
    DOI: 10.1007/s10287-018-0308-y
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