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Implied expected returns and the choice of a mean-variance efficient portfolio proxy

Auteur(s)
Boudt, Kris
Date de parution
2015
In
Journal of Portfolio Management
Vol.
4
No
41
De la page
68
A la page
81
Revu par les pairs
1
Mots-clés
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.
Lié au projet
Identifiants
https://libra.unine.ch/handle/123456789/24500
_
10.3905/jpm.2015.41.4.068?journalCode=jpmImplied 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.
Type de publication
journal article
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