Arbeitspapier
Robust Optimization of the Equity Momentum Strategy
Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time performance of the popular equity momentum strategy with robust optimization in an empirical application involving 1500-2500 US stocks over the period 1963-2006. We also show that popular procedures like Bayes-Stein estimated expected returns, shrinking the covariance matrix and adding weight constraints fail in such a practical case.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 09-011/4
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
quadratic optimization
momentum strategy
robust optimization
Portfolio-Management
Nichtlineare Optimierung
Anlageverhalten
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van Oord, Arco
Martens, Martin
van Dijk, Herman K.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- van Oord, Arco
- Martens, Martin
- van Dijk, Herman K.
- Tinbergen Institute
Entstanden
- 2009
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