Backtesting Optimal Portfolios based on Forecasting Models - An empirical study on the US equity market

This book shows that, given a simple linear model for trading-costs, portfolios with short holding periods (weekly or biweekly) cannot outperform the underlying index (S&P 100). There is empirical evidence that monthly restructuring leads to the optimal trade-off between superior performance and higher trading-costs. Additionally, it is shown that linear forecasting is not a useful tool for portfolio optimization. The empirical analysis points out that a portfolio with forecasts can almost never outperform a portfolio without forecasts in the long-run. In the short-run, however, it might be possible, but only in a stable environment where no jumps in the stock price occur.

About the author

The authors studied Quantitative Finance at the Vienna University of Economics and Business. Stephan Kranner is currently working at a research institute focusing on strategic asset allocation in Vienna. Michael Christl is currently working in economic research for the Austrian think tank "Agenda Austria".

Product details

• Authors: Michael Christl, Stepha Kranner, Stephan Kranner
• Publisher: AV Akademikerverlag
• Languages: English, German
• Product format: Paperback / Softback
• Released: 13.11.2020
• EAN: 9783639491456
• ISBN: 978-3-639-49145-6
• No. of pages: 220
• Dimensions: 150 mm x 220 mm x 11 mm
• Weight: 308 g
• Subject: Guides > Law, job, finance > Money, bank, stock market