Implied expected returns and the choice of a mean-variance efficient portfolio proxy
David Ardia & Kris Boudt
| Résumé |
Implied expected returns are the expected returns for which a
supposedly mean–variance efficient portfolio is effectively
efficient, given a covariance matrix. The authors analyze the
properties of monthly implied expected stock returns and study
their sensitivity to the choice of mean–variance efficient
portfolio proxy. For the universe of S&P 100 stocks over the period
from 1984 to 2014, they find that using as risk-based portfolio
proxy with respect to a market capitalization or fundamental value
portfolio brings its biggest gains in return forecasts’ stability
and precision. For all the proxies considered, they report that the
implied expected returns outperform forecasts based on a time-series
model in stability and precision. |
| Mots-clés |
Implied expected return, mean-variance, portfolio allocation, reverse engineering, risk-based allocation |
| Citation | Ardia, D., & Boudt, K. (2015). Implied expected returns and the choice of a mean-variance efficient portfolio proxy. Journal of Portfolio Management, 41(4), 68-81. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2015 |
| Nom du périodique | Journal of Portfolio Management |
| Volume | 41 |
| Numéro | 4 |
| Pages | 68-81 |
| URL | http://www.iijournals.com/doi/abs/10.3905/jpm.2015.41.4.0... |
| Liée au projet | Implied returns and the choice of a mean-variance efficie... |