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A Maximal Predictability Portfolio Subject To A Turnover Constraint

Author

Listed:
  • YOSHIHIRO TAKAYA

    (Department of Industrial and Systems Engineering, Chuo University, Japan)

  • HIROSHI KONNO

    (Department of Industrial and Systems Engineering, Chuo University, Japan)

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.

Suggested Citation

  • Yoshihiro Takaya & Hiroshi Konno, 2010. "A Maximal Predictability Portfolio Subject To A Turnover Constraint," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(01), pages 1-13.
    • Handle: RePEc:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002521
    DOI: 10.1142/S0217595910002521
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    References listed on IDEAS

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    1. anonymous, 2000. "Financial services strategic plan," Financial Update, Federal Reserve Bank of Atlanta, vol. 13(Oct), pages 1-3.
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    Cited by:

    1. Philippe Goulet Coulombe & Maximilian Goebel, 2023. "Maximally Machine-Learnable Portfolios," Papers 2306.05568, arXiv.org, revised Apr 2024.
    2. Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.

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