MARC Record from Library of Congress

LEADER: 02351nam a22003137a 4500
001 2005615010
003 DLC
005 20050103142621.0
007 cr |||||||||||
008 050103s2004 mau sb 000 0 eng
010 $a 2005615010
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aBrandt, Michael W.
245 10 $aParametric portfolio policies$h[electronic resource] :$bexploiting characteristics in the cross section of equity returns /$cMichael W. Brandt, Pedro Santa-Clara, Rossen Valkanov.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004
490 1 $aNBER working paper series ;$vworking paper 10996
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/3/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. Our approach also provides a new test of the portfolio choice implications of equilibrium asset pricing models. We present an empirical implementation for the universe of all stocks in the CRSP-Compustat dataset, exploiting the size, value, and momentum anomalies"--National Bureau of Economic Research web site.
650 0 $aPortfolio management$xMathematical models.
700 1 $aSanta-Clara, Pedro.
700 1 $aValkanov, Rossen I.$q(Rossen Ivanov),$d1973-
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10996.
856 40 $uhttp://papers.nber.org/papers/W10996